Munich Personal RePEc Archive

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

Hännikäinen, Jari (2014): The mortgage spread as a predictor of real-time economic activity.

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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.

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