Predicting economic growth: evidence from real-estate loans securitization

Ujjal Chatterjee ()
Additional contact information
Ujjal Chatterjee: University of Trento

SN Business & Economics, 2023, vol. 3, issue 3, 1-20

Abstract: 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.

Keywords: Business cycles; Real-estate loan securitization; House prices; Residential investment; Corporate credit spreads; Financial accelerator mechanism (search for similar items in EconPapers)
JEL-codes: E31 E37 E44 E47 G12 G21 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s43546-023-00456-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:snbeco:v:3:y:2023:i:3:d:10.1007_s43546-023-00456-x

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/43546

DOI: 10.1007/s43546-023-00456-x

Access Statistics for this article

SN Business & Economics is currently edited by Gino D'Oca

More articles in SN Business & Economics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().