We evaluate conditional predictive densities for U.S. output growth and inflation using a number of commonly used forecasting models that rely on a large number of macroeconomic predictors. More specifically, we evaluate how well conditional predictive densities based on the commonly used...

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...

In line with term structure theory, empirical studies suggest that it is difficult to beat the random walk in forecasting long-term interest rates. We ask whether consumer survey data on both mortgage interest rates and expected inflation help beat the random walk in forecasting the 30-year...