Example: Total household debt (2-quarters ahead)

NY Fed HHDC total debt from monthly FRED metrics at t−6 months

This model estimates Total household debt two quarters ahead (six months) using the New York Fed Household Debt and Credit report and FRED prints dated six months earlier. The New York Fed series is quarterly; the six-month horizon is two HHDC quarters.

• UNRATE: civilian unemployment rate for the month six months before the quarter being forecasted
• FEDFUNDS: effective federal funds rate for that same month
• DSPIC96: real disposable personal income (chained 2017 dollars) for that same month
• CSUSHPISA: S&P/Case-Shiller U.S. National Home Price Index for that same month

Our regression model is

HHDEBT_estimated(t) = UNRATE * 0.091358606 + FEDFUNDS * 0.092319291 + DSPIC96 * 0.000509243 + CSUSHPISA * 0.025246987 + 0.302828134
and yields R^2 = 89.8% as of October 2023 (n = 80 quarters) in-sample on paired actuals through 2023Q4.
On later paired actuals the same frozen coefficients yield R^2 = 87.2% as of April 2026 (n = 10 quarters) out of sample.

Coefficients are ordinary least squares on complete lagged pairs from 2004 through 2023Q4. Later dates, including the period shown as a forecast, use those frozen coefficients. On the leftover paired actuals that frozen fit beats predicting the holdout mean. The first R² above is in-sample through 2023Q4; the second is out-of-sample on later paired actuals.