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Predicting economic growth: evidence from real-estate loans securitization

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  • Ujjal Chatterjee

    (University of Trento)

Abstract

This paper examines the role of housing in predicting macroeconomic outcomes. We do so by incorporating real-estate loans securitization, an important housing-related variable, in our investigation. Our in-and out-of-sample results show that (1) securitized real-estate loans contain leading information about the real economy after accounting for other predictors such as residential investment; (2) securitized real-estate loans significantly improve corporate bond credit spreads’ ability to forecast economic indicators; (3) while house prices lead the economy, after accounting for securitized real-estate loans and residential investment, the predictability appears to be more about economic contractions than expansions; (4) shocks to securitized real-estate loans have sustained economically significant effects on economic growth.

Suggested Citation

  • Ujjal Chatterjee, 2023. "Predicting economic growth: evidence from real-estate loans securitization," SN Business & Economics, Springer, vol. 3(3), pages 1-20, March.
    • Handle: RePEc:spr:snbeco:v:3:y:2023:i:3:d:10.1007_s43546-023-00456-x
    DOI: 10.1007/s43546-023-00456-x
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    More about this item

    Keywords

    Business cycles; Real-estate loan securitization; House prices; Residential investment; Corporate credit spreads; Financial accelerator mechanism;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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