The mortgage spread as a predictor of real-time economic activity

MPRA Paper from University Library of Munich, Germany

Abstract: We analyze the predictive content of the mortgage spread for U.S. economic activity. We find that the spread contains predictive power for real GDP and industrial production. Furthermore, it outperforms the term spread and Gilchrist– Zakrajsek spread in a real-time forecasting exercise. However, the predictive ability of the mortgage spread varies over time.

Keywords: mortgage spread; forecasting; real-time data (search for similar items in EconPapers)
JEL-codes: C53 E37 E44 (search for similar items in EconPapers)
Date: 2014-09-05
New Economics Papers: this item is included in nep-for, nep-mac and nep-ure
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Related works:
Working Paper: The mortgage spread as a predictor of real-time economic activity (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:58360

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