Information transmission between oil and housing markets
Nguyen T.T.H. Naeem M.A. Balli F. Balli H.O. Syed I.
March 2021Elsevier B.V.
Energy Economics
2021#95
This paper investigates the equicorrelation and connectedness between oil and housing markets using the DECO-GARCH methodology and the connectedness index. We find a high degree of connectedness between these two markets. We also find that the magnitude of correlation and connectedness between these markets is more pronounced during extreme events, which is in line with the literature investigating connectedness in various other markets. Then, when we consider the net connectedness and pairwise connectedness, we find that the US housing market is the dominant net transmitter to the other housing markets. Furthermore, looking at the GFC period of 2007–2009, our paper sheds light on the role of the oil market as a mediator of information transmission arising from its ability to convey shocks from the US to the other OECD housing markets, especially with regard to oil-dependent OECD countries. The paper discusses important policy implications of the findings.
Dynamic connectedness , Equicorrelation , Financial crisis , Oil and housing markets
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School of Economics and Finance, Massey University, Auckland, New Zealand
UCD College of Business, University College Dublin, Ireland
Al-Farabi Kazakh National University, Kazakhstan
School of Economics and Finance
UCD College of Business
Al-Farabi Kazakh National University
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