How do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch

Afees Salisu and Rangan Gupta

No 201946, Working Papers from University of Pretoria, Department of Economics

Abstract: In this study, we utilize the recent oil shock data of Baumeister and Hamilton (2019) to analyze how housing returns in China, India and Russia respond to different oil shocks. Given the available data for the relevant variables, the MIDAS approach which helps circumvent aggregation problem in the estimation process is employed. We also extend the MIDAS framework to account for nonlinearities in the model. Expectedly, the housing returns of the countries considered respond differently to the variants of oil shocks. More specifically, we find that the housing returns of India and China which are net oil-importing countries do not seem to possess oil risk hedging characteristics albeit with the converse for Russia which is a major net oil-exporter. We also find that modeling with the MIDAS framework offers better predictability than other variants with uniform frequency.

Keywords: Housing return; Oil shock; MIDAS regression; Nonlinearities; Forecasting (search for similar items in EconPapers)
JEL-codes: C12 C22 Q41 Q47 R12 R31 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2019-06
New Economics Papers: this item is included in nep-cis, nep-ene, nep-rmg, nep-sea and nep-ure
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Citations: View citations in EconPapers (3)

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Journal Article: How Do Housing Returns in Emerging Countries Respond to Oil Shocks? A MIDAS Touch (2021)
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