An examination of the pass-through of disaggregated energy prices to real house price: Evidence from the United States
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Tarih
2021
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
WILEY, 111 RIVER ST, HOBOKEN 07030-5774, NJ
Erişim Hakkı
info:eu-repo/semantics/openAccess
Attribution-NonCommercial-NoDerivs 3.0 United States
Attribution-NonCommercial-NoDerivs 3.0 United States
Özet
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 longrun 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.
Açıklama
Anahtar Kelimeler
ARDL, cointegration, energy prices, real house price, United States
Kaynak
Journal of Public Affairs
WoS Q Değeri
N/A
Scopus Q Değeri
Q1
Cilt
22
Sayı
4
