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

Jari H�nnik�inen

Applied Economics Letters, 2016, vol. 23, issue 2, 112-116

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.

Date: 2016
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DOI: 10.1080/13504851.2015.1054064

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