Re: Daniel's interest rate predictor

[Daniel Davies <dsquared@xxxxxxxxxxxxxxxx>]

I've just downloaded the data again and I can't see what I was thinking
about.  I must have found some predictive information (this was about three
years ago) because I published a broker's note on the subject.  But when I
looked at the data (from www.cml.org.uk , the Council of Mortgage Lenders)
it really doesn't look all that good at all.  UK borrowers took out a lot of
variable rate mortages just before the 1997 peak, and switched to the
fixed-rate product pretty seriously in 1999.  But they completely missed the
2001-2003 rate cut sequence and they don't seem to have changed their
behaviour at all in the current cycle.  So sorry for bothering everyone
really.

best
dd

-----Original Message-----
From: PEN-L list [mailto:PEN-L@xxxxxxxxxxxxxxxx]On Behalf Of Michael
Perelman
Sent: 16 June 2005 23:25
To: PEN-L@xxxxxxxxxxxxxxxx
Subject: Daniel's interest rate predictor


Could you please let us know about the predictive ability of the mortgage
borrowers?
How well would a model do that just extrapolated previous trends compared to
the
experts?  Of course, you could run into a problem with turning points.

Also, in the US market, don't you also have a unique situation now with very
loose
lending standards.  Of course, that is not necessarily new.  My mother's
cousin ran
one of the larger S&L operations in California during the 60s.  After he
died,
another relative told me that one of his employees had lent huge amounts on
a large number of brothels in SF.


 --
Michael Perelman
Economics Department
California State University
Chico, CA 95929

Tel. 530-898-5321
E-Mail michael at ecst.csuchico.edu