On accuracy of survey forecasts of US mortgage spread

Artikel

The cyclical variation behavior of the mortgage spread has motivated some studies to investigate its relationship to economic activity. Indeed, recent empirical findings indicate that the mortgage spread is a determinant/predictor of economic activity. We define the mortgage spread as the difference between the 30-year mortgage and 10-year Treasury rates and ask whether the Blue Chip (consensus) forecasts of these series are accurate for 1988-2015. Our findings indicate that the Blue Chip forecasts of both the 30-year mortgage and 10-year Treasury rates are biased, fail to outperform the random walk benchmark, and are directionally inaccurate. However, the Blue Chip forecasts of the mortgage spread are generally unbiased, outperform the random walk benchmark, and are directionally accurate-thus of value to a user. Given such evidence, a natural extension for future research is to explore whether the predictive information content of Blue Chip forecasts of the mortgage spread is a better predictor of output growth and whether it helps improve Blue Chip forecasts of output growth.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 6 ; Year: 2018 ; Issue: 1 ; Pages: 1-10 ; Abingdon: Taylor & Francis

Classification and Topics

• Classification: Wirtschaft ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; Interest Rates: Determination, Term Structure, and Effects ; Financial Markets and the Macroeconomy
• Subject: mortgage spread ; unbiasedness ; predictive information content ; directional accuracy ; asymmetric loss

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Baghestani, Hamid
• Event: Veröffentlichung
• (who): Taylor & Francis
• (where): Abingdon
• (when): 2018

Further information

• DOI: doi:10.1080/23322039.2018.1457467
• Handle: http://hdl.handle.net/10419/194778
• Last update: 10.03.2025, 11:41 AM CET