The Foreclosure–House Price Nexus: A Panel VAR Model for U.S. States, 1981–2009
利用美国各州季度数据，用面板VAR模型分析止赎与房价的双向影响，发现房价对止赎的负向影响远大于止赎对房价的影响，表明两者低频关联主要源于房主和贷款人的策略性调整。
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.