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

58 Pages Posted: 16 Jul 2008 Last revised: 25 Mar 2012

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

Multiple version iconThere are 2 versions of this paper

Date Written: 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.

Keywords: Foreclosures, Home Prices, Panel VAR

JEL Classification: E0, G33, R3

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: https://ssrn.com/abstract=1160062 or http://dx.doi.org/10.2139/ssrn.1160062

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

Paper statistics

Downloads
506
Rank
39,623
Abstract Views
2,927