30 Year Mortgage Rates

Source:
Board of Governors of the Federal Reserve

Release:
Mortgage Rates

Units:
Percent, Not Seasonally Adjusted

Frequency:
Weekly, ending Thursday

Available Through:
12/08/2021

Why Use:

30 year mortgage rates describes the daily average of 30 year mortgage rates in the US. This indicates the trend of interest rates overall as well as the long term fininacial outlook.

Suggested Treatment:

The data shows autocorrection and a non-normal distribution. The data should be differenced. While the Order Norm transformation, provides the best normality, the Arcsin variable will also perform well.

Grain Transformation:

Data is unable to be distributed by time or geography. The roll up method used is Weighted Average.

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30 Year Mortgage Rates

Auto Correction Function

Auto Correlation Function After Differencing

Partial Auto Correlation Function

Seasonal Impact

Seasonal and Trend Decompostion

Autocorrectation Analysis:

Data shows autocorrectation indicating a need for differencing

The ACF indicates 1 order differencing is appropriate.

Following first order differencing, no further differencing is required based on the differenced ACF at lag one of -0.03

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 0.55 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.98 with a p-value =0.00 indicating the data does not follow a normal distribution.

A skewness score of 0.31 indicates the data are fairly symmetrical.

Hartigan's dip test score of 0.01 with a p-value of 0.86 inidcates the data is unimodal

Statistics (Pearson P/ df, lower => more normal)

No transform
1.26
Box-cox
NA
Log_b(x-a)
1.14
sqrt(x+a)
1.14
exp(x)
2.61
arcsinh(x)
1.13
Yeo-Johnson
1.14
OrderNorm
1.13

Citation:

Freddie Mac, 30-Year Fixed Rate Mortgage Average in the United States [MORTGAGE30US], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/MORTGAGE30US, December 15, 2019

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