Abstract
Our study investigates the dynamic pass‐through of energy prices (crude oil price, electricity price, natural gas price, and coal price) to real house price in the United States using the data from 1970 to 2017. Based on the autoregressive distributed lag (ARDL) model, the empirical results suggest an incomplete pass‐through for all the energy prices to real house price both in the long run and short run except for long‐run pass‐through of crude oil price which is complete with statistically insignificant parameter. The Granger causality results reveal a feedback effect between natural gas price and real house price, output growth and real house price, natural gas price and crude oil price, coal price and electricity price, and output growth and coal price. In addition, a unidirectional causal relationship is found running from crude oil price, natural gas price, real house price, and coal price to electricity price. Again, we find that crude oil price is the cause of coal price in Granger sense. Therefore, our findings provide insights into proper design of energy policy that reduces the transmission of energy price shocks to house price in the United States.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.