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The Foreclosure-House Price Nexus: A Panel VAR Model for U.S. States, 1981-2009Charles W. CalomirisColumbia University - Columbia Business School; National Bureau of Economic Research (NBER) Stanley D. LonghoferWichita State University - W. Frank Barton School of Business William MilesWichita 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 seriesDate posted: July 16, 2008 ; Last revised: March 25, 2012Suggested CitationContact Information
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