An examination of the pass-through of disaggregated energy prices to real house price: Evidence from the United States

Uzuner G., Usman O., Alola A. A.

Journal of Public Affairs, cilt.22, sa.4, 2022 (ESCI) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 22 Sayı: 4
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1002/pa.2638
  • Dergi Adı: Journal of Public Affairs
  • Derginin Tarandığı İndeksler: Emerging Sources Citation Index (ESCI), Scopus, Academic Search Premier, IBZ Online, International Bibliography of Social Sciences, ABI/INFORM, Business Source Elite, Business Source Premier, Communication & Mass Media Index, Communication Abstracts, PAIS International, Political Science Complete, Public Affairs Index, vLex
  • Anahtar Kelimeler: ARDL, cointegration, energy prices, real house price, United States
  • İstanbul Gelişim Üniversitesi Adresli: Evet

Özet

© 2021 John Wiley & Sons, Ltd.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.