Predicting economic growth: evidence from real-estate loans securitization

被引：0
作者：
Ujjal Chatterjee
机构：
[1] Department of Economics and Management, University of Trento, Via Inama 5, Trento
来源：
SN Business & Economics | / 3卷 / 3期
关键词：
Business cycles; Corporate credit spreads; Financial accelerator mechanism; House prices; Real-estate loan securitization; Residential investment;
D O I：
10.1007/s43546-023-00456-x
中图分类号：
学科分类号：
摘要：
This paper examines the role of housing in predicting macroeconomic outcomes. We do so by incorporating real-estate loans securitization, an important housing-related variable, in our investigation. Our in-and out-of-sample results show that (1) securitized real-estate loans contain leading information about the real economy after accounting for other predictors such as residential investment; (2) securitized real-estate loans significantly improve corporate bond credit spreads’ ability to forecast economic indicators; (3) while house prices lead the economy, after accounting for securitized real-estate loans and residential investment, the predictability appears to be more about economic contractions than expansions; (4) shocks to securitized real-estate loans have sustained economically significant effects on economic growth. © The Author(s), under exclusive licence to Springer Nature Switzerland AG 2023.
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