On accuracy of survey forecasts of US mortgage spread
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...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2018-01-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | http://dx.doi.org/10.1080/23322039.2018.1457467 |
| _version_ | 1819290647437246464 |
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| author | Hamid Baghestani |
| author_facet | Hamid Baghestani |
| author_sort | Hamid Baghestani |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-12-24T03:26:04Z |
| format | Article |
| id | doaj.art-4fb176a6009e4dc5b41a80e327b5fea8 |
| institution | Directory Open Access Journal |
| issn | 2332-2039 |
| language | English |
| last_indexed | 2024-12-24T03:26:04Z |
| publishDate | 2018-01-01 |
| publisher | Taylor & Francis Group |
| record_format | Article |
| series | Cogent Economics & Finance |
| spelling | doaj.art-4fb176a6009e4dc5b41a80e327b5fea82022-12-21T17:17:19ZengTaylor & Francis GroupCogent Economics & Finance2332-20392018-01-016110.1080/23322039.2018.14574671457467On accuracy of survey forecasts of US mortgage spreadHamid Baghestani0American University of SharjahThe 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.http://dx.doi.org/10.1080/23322039.2018.1457467mortgage spreadunbiasednesspredictive information contentdirectional accuracyasymmetric loss |
| spellingShingle | Hamid Baghestani On accuracy of survey forecasts of US mortgage spread Cogent Economics & Finance mortgage spread unbiasedness predictive information content directional accuracy asymmetric loss |
| title | On accuracy of survey forecasts of US mortgage spread |
| title_full | On accuracy of survey forecasts of US mortgage spread |
| title_fullStr | On accuracy of survey forecasts of US mortgage spread |
| title_full_unstemmed | On accuracy of survey forecasts of US mortgage spread |
| title_short | On accuracy of survey forecasts of US mortgage spread |
| title_sort | on accuracy of survey forecasts of us mortgage spread |
| topic | mortgage spread unbiasedness predictive information content directional accuracy asymmetric loss |
| url | http://dx.doi.org/10.1080/23322039.2018.1457467 |
| work_keys_str_mv | AT hamidbaghestani onaccuracyofsurveyforecastsofusmortgagespread |