Single-Family Mortgage Delinquency Rate - Seas Adj

Source:
Board of Governors of the Federal Reserve

Release:
Mortgage Rates

Units:
Percent, Seasonally Adjusted

Frequency:
Quarterly, end of period

Available Through:
09/30/2021

Why Use:

The delinquency rate measures the inability of consumers to pay their mortgage. This is indicative of economic health and can indicate recessions, unemployment, and other factors that cause loss of income.

Suggested Treatment:

The data shows autocorrection and a non-normal distribution. The data should be differenced. While the Arcsin transformation, provides the best normality, the Boxcox 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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Single-Family Mortgage Delinquency Rate - Seas Adj

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.

Further differencing is reccommended

Trend Analysis:

The Kwiatkowski-Phillips-Schmidt-Shin (KPSS) test, KPSS Trend = 0.35 p-value = 0.01 indicates that the data is not stationary.

Distribution Analysis:

The Shapiro-Wilk test returned W = 0.90 with a p-value =0.01 indicating the data does not follow a normal distribution.

A skewness score of 0.51 indicates the data are moderately skewed.

Hartigan's dip test score of 0.05 with a p-value of 0.86 inidcates the data is unimodal

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

No transform
1.29
Box-cox
1.27
Log_b(x-a)
1.27
sqrt(x+a)
1.32
exp(x)
3.07
arcsinh(x)
1.27
Yeo-Johnson
1.27
OrderNorm
1.55

Citation:

Board of Governors of the Federal Reserve System (US), Delinquency Rate on Single-Family Residential Mortgages, Booked in Domestic Offices, All Commercial Banks [DRSFRMACBS], retrieved from FRED, Federal Reserve Bank of St. Louis; https://fred.stlouisfed.org/series/DRSFRMACBS, November 8, 2019.

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