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

Jari Hännikäinen

No 1496, Working Papers from Tampere University, Faculty of Management and Business, Economics

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)
Pages: 10 pages
Date: 2014-09
New Economics Papers: this item is included in nep-for, nep-mac and nep-ure
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http://urn.fi/URN:ISBN:978-951-44-9587-8 First version, 2014 (application/pdf)

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:tam:wpaper:1496

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