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

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  • Jari H�nnik�inen

Abstract

We analyse the predictive content of the mortgage spread for US economic activity. We find that the spread contains predictive power for real GDP and industrial production. Furthermore, it outperforms the term spread and Gilchrist-Zakrajšek credit spread in a real-time forecasting exercise. However, the predictive ability of the mortgage spread varies over time.

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  • Jari H�nnik�inen, 2016. "The mortgage spread as a predictor of real-time economic activity," Applied Economics Letters, Taylor & Francis Journals, vol. 23(2), pages 112-116, February.
    • Handle: RePEc:taf:apeclt:v:23:y:2016:i:2:p:112-116
    DOI: 10.1080/13504851.2015.1054064
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    Cited by:

    1. Horvath, Jaroslav & Rothman, Philip, 2021. "Mortgage spreads, asset prices, and business cycles in emerging countries," Journal of International Money and Finance, Elsevier, vol. 115(C).

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