Abstract

http://ssrn.com/abstract=1160062
 
 

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The Foreclosure-House Price Nexus: A Panel VAR Model for U.S. States, 1981-2009


Charles W. Calomiris


Columbia University - Columbia Business School; National Bureau of Economic Research (NBER)

Stanley D. Longhofer


Wichita State University - W. Frank Barton School of Business

William Miles


Wichita State University - W. Frank Barton School of Business

March 1, 2012


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.

Number of Pages in PDF File: 58

Keywords: Foreclosures, Home Prices, Panel VAR

JEL Classification: E0, G33, R3

working papers series


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Date posted: July 16, 2008 ; Last revised: March 25, 2012

Suggested Citation

Calomiris, Charles W. and Longhofer, Stanley D. and Miles, William, The Foreclosure-House Price Nexus: A Panel VAR Model for U.S. States, 1981-2009 (March 1, 2012). Available at SSRN: http://ssrn.com/abstract=1160062 or http://dx.doi.org/10.2139/ssrn.1160062

Contact Information

Charles W. Calomiris
Columbia University - Columbia Business School ( email )
3022 Broadway
601 Uris, Dept. of Finance & Economics
New York, NY 10027
United States
212-854-8748 (Phone)
212-316-9219 (Fax)

National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Stanley D. Longhofer (Contact Author)
Wichita State University - W. Frank Barton School of Business ( email )
1845 N. Fairmount
Wichita, KS 67260
United States
316-978-7120 (Phone)
316-978-3263 (Fax)
HOME PAGE: http://webs.wichita.edu/longhofer
William Miles
Wichita State University - W. Frank Barton School of Business ( email )
1845 N. Fairmount
Wichita, KS 67260
United States
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