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- Title
The Foreclosure-House Price Nexus: A Panel VAR Model for U.S. States, 1981-2009.
- Authors
Calomiris, Charles W.; Longhofer, Stanley D.; Miles, William R.
- 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.
- Subjects
UNITED States; FORECLOSURE; HOME prices; VALUE at risk; HOMEOWNERS; MONEYLENDERS; ATTITUDE (Psychology)
- Publication
Real Estate Economics, 2013, Vol 41, Issue 4, p709
- ISSN
1080-8620
- Publication type
Article
- DOI
10.1111/reec.12011