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    The foreclosure-house price nexus: a panel VAR model for US states, 1981-2009

    Date
    2013-07-19
    Author
    Calomiris, Charles W.
    Longhofer, Stanley D.
    Miles, William
    Metadata
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    Citation
    Calomiris, C. W., Longhofer, S. D. and Miles, W. R. (2013), The Foreclosure–House Price Nexus: A Panel VAR Model for U.S. States, 1981–2009. Real Estate Economics, vol. 41:no. 4:ppg. 709–746. http://dx.doi.org/10.1111/reec.12011
    Abstract
    Despite housing's economic importance, little has been written on how foreclosures and home prices interact in a framework that includes macroeconomic and housing variables such as employment, permits or sales. Panel VAR results for quarterly state-level data indicate that price-foreclosure linkages run both ways. Foreclosures negatively impact home prices. The negative impact of prices on foreclosures, however, is much larger. These results suggest the low-frequency association observed between foreclosures and prices is mostly driven by the endogenous adjustment of foreclosures to prices via the strategic choices of homeowners and lenders, rather than through the effects of foreclosures on home prices.
    Description
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    URI
    http://dx.doi.org/10.1111/reec.12011
    http://hdl.handle.net/10057/7078
    Collections
    • 1. Refereed Publications
    • ECO Faculty Research
    • FREDS Research Publications

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