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dc.contributor.authorAlola, Andrew Adewale
dc.date.accessioned2020-08-13T20:45:34Z
dc.date.available2020-08-13T20:45:34Z
dc.date.issued2020en_US
dc.identifier.issn1076-9307
dc.identifier.issn1099-1158
dc.identifier.urihttps://hdl.handle.net/11363/2359
dc.description.abstractThe sector performances of many economies especially the oil-producing ones, are consistently linked with the volatility of the international crude oil prices. Considering the significance of the international crude oil price to the economy of the Saudi Arabia, the current study investigates the dynamics of the crude oil price and the country's real estate market. This is achieved by investigating the evidence of both speculative bubbles and regime switching in the crude oil and real estate market from October 3, 2005, to March 29, 2018. As such, the Supremum Augmented Dickey-Fuller (SADF) and Markov switching regression model were employed. Although there is no significant evidence of speculative bubbles in the Saudi Arabia's real estate market, the result reveals statistical significant evidence of price bubbles in the Brent crude oil price especially between the period of 2007 to 2008, which coincides with the Global Financial Crisis period. However, the Markov switching investigation reveal that there is evidence of significant and positive impact of crude oil price return on the real estate market in the regimes. Importantly, empirical evidence shows that the impact is higher in Regime 2 even as the global factor (proxy volatility index) is evidently significant. Although the regimes are persistent, the expected regime duration of the stable regime is of the higher quarter. This investigation is statistically significant and robust, especially when Organization of the Petroleum Exporting Countries (OPEC) price of crude oil is used in lieu of the European Brent price. The estimation result encourages more strict energy policies that tackle the Saudi Arabia's energy and the real estate challenges.en_US
dc.language.isoengen_US
dc.publisherWILEY, 111 RIVER ST, HOBOKEN 07030-5774, NJ USAen_US
dc.relation.isversionof10.1002/ijfe.1971en_US
dc.rightsinfo:eu-repo/semantics/openAccessen_US
dc.rightsAttribution-NonCommercial-NoDerivs 3.0 United States*
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/us/*
dc.subjectcrude oilen_US
dc.subjectMarkov switchingen_US
dc.subjectreal estate marketen_US
dc.subjectspeculative bubblesen_US
dc.subjectSaudi Arabiaen_US
dc.subjectECONOMIC-POLICY UNCERTAINTYen_US
dc.subjectTIME-SERIESen_US
dc.subjectHOUSING RETURNSen_US
dc.subjectUNIT-ROOTen_US
dc.subjectVOLATILITYen_US
dc.titleEvidence of speculative bubbles and regime switch in real estate market and crude oil price: Insight from Saudi Arabiaen_US
dc.typearticleen_US
dc.relation.ispartofINTERNATIONAL JOURNAL OF FINANCE & ECONOMICSen_US
dc.departmentİktisadi İdari ve Sosyal Bilimler Fakültesien_US
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US


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