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

38 Pages Posted: 17 Dec 2013

See all articles by Charles W. Calomiris

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

Date Written: Winter 2013

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.

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 (Winter 2013). Real Estate Economics, Vol. 41, Issue 4, pp. 709-746, 2013, Available at SSRN: https://ssrn.com/abstract=2368603 or http://dx.doi.org/10.1111/reec.12011

Charles W. Calomiris (Contact Author)

Columbia University - Columbia Business School ( email )

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National Bureau of Economic Research (NBER)

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Stanley D. Longhofer

Wichita State University - W. Frank Barton School of Business ( email )

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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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