G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w14294
来源IDWorking Paper 14294
The Foreclosure-House Price Nexus: Lessons from the 2007-2008 Housing Turmoil
Charles W. Calomiris; Stanley D. Longhofer; William Miles
发表日期2008-09-05
出版年2008
语种英语
摘要Despite housing's importance to the economy and worries about recent financial and economic turmoil traceable to housing market difficulties, little has been written on how distress in the housing market, measured by foreclosures, affects home prices, or how these variables interact with other macroeconomic or housing variables such as employment, housing permits or sales. Employing a panel VAR model to examine quarterly state-level data, our paper is the first to systematically analyze these interactions. There is substantial regional variation across states, which facilitates our ability to identify linkages among variables. Importantly, price-foreclosure linkages work in both directions; foreclosures have a significant, negative effect on home prices, while an increase in prices alleviates distress by lowering foreclosures. Similarly, employment and foreclosures have mutually negative effects on each other. The impact of foreclosures on prices, while negative and significant, is quite small in magnitude. We demonstrate this by simulating house price changes in response to extreme foreclosure shocks. Even under extremely pessimistic scenarios for foreclosure shocks, average U.S. house prices, as measured by the comprehensive OFHEO house price index (which we argue is the most reliable and useful measure of house prices to use for our purposes), likely would decline only slightly or remain essentially flat in response to foreclosures like those predicted for the 2008-2009 period. This suggests that home prices are quite sticky, and that fears of a major fall in house prices, with all of its attendant negative macroeconomic consequences, typically are not warranted even in extreme foreclosure circumstances.
主题Regional and Urban Economics ; Real Estate
URLhttps://www.nber.org/papers/w14294
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/571968
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Charles W. Calomiris,Stanley D. Longhofer,William Miles. The Foreclosure-House Price Nexus: Lessons from the 2007-2008 Housing Turmoil. 2008.
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