This paper analyzes the impact of disentangled oil shocks on the synchronization in housing price movements across all the US states plus DC. Using a Bayesian dynamic factor model, the house price movements are decomposed into national, regional, and state-specific factors. We then study the impact of oil-specific supply and demand, inventory accumulation, and global demand shocks on the national factor using linear and nonlinear local projection methods. The impulse response analyses suggest that oil-specific supply and consumption demand shocks are most important in driving the national factor. Moreover, as observed from the regime-specific local projection model, these two shocks are found to have a relatively stronger impact in a bearish rather than a bullish national housing market. Our results have important policy implications.

本文分析了分散的石油冲击对美国所有州和哥伦比亚特区房屋价格走势同步的影响。使用贝叶斯动态因素模型，房价走势被分解为国家，地区和州特定因素。然后，我们使用线性和非线性局部投影方法研究石油特定供求，库存积累和全球需求冲击对国家因素的影响。冲激响应分析表明，特定于石油的供需需求冲击是驱动国家因素的最重要因素。此外，从针对特定政权的本地预测模型可以看出，这两种冲击在看跌而非看涨的全国住房市场中具有相对较强的影响。我们的结果具有重要的政策含义。