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Applied Economics Letters Volume 23, 2016 - Issue 2
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Original Articles

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

Jari HännikäinenSchool of Management, University of Tampere, Tampere, FinlandCorrespondence[email protected]
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Pages 112-116 | Published online: 03 Aug 2015

References

  • Faust, J., S. Gilchrist, J. H. Wright, and E. Zakrajšek. 2013. “Credit Spreads as Predictors of Real-Time Economic Activity: A Bayesian Model-Averaging Approach.” Review of Economics and Statistics 95: 1501–1519.
  • Giacomini, R., and B. Rossi. 2010. “Forecast Comparisons in Unstable Environments.” Journal of Applied Econometrics 25: 595–620. doi:10.1002/jae.1177.
  • Giacomini, R., and H. White. 2006. “Tests of Conditional Predictive Ability.” Econometrica 74: 1545–1578. doi:10.1111/ecta.2006.74.issue-6.
  • Gilchrist, S., and E. Zakrajšek. 2012. “Credit Spreads and Business Cycle Fluctuations.” American Economic Review 102: 1692–1720. doi:10.1257/aer.102.4.1692.
  • Hall, R. E. 2011. “The Long Slump.” American Economic Review 101: 431–469. doi:10.1257/aer.101.2.431.
  • Hännikäinen, J. (Forthcoming.) “Zero Lower Bound, Unconventional Monetary Policy and Indicator Properties of Interest Rate Spreads.” Review of Financial Economics.
  • Ng, S., and J. H. Wright. 2013. “Facts and Challenges from the Great Recession for Forecasting and Macroeconomic Modeling.” Journal of Economic Literature 51: 1120–1154. doi:10.1257/jel.51.4.1120.
  • Stock, J. H., and M. W. Watson. 2003. “Forecasting Output and Inflation: The Role of Asset Prices.” Journal of Economic Literature 41: 788–829. doi:10.1257/jel.41.3.788.
  • Walentin, K. 2014. “Business Cycle Implications of Mortgage Spreads.” Journal of Monetary Economics 67: 62–77. doi:10.1016/j.jmoneco.2014.07.005.

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