{ "model_version": "3.0_two_stage", "updated": "2026-05-31", "architecture": "Stage1:Ridge(quarterly,LOO_MAE=1.79) + Stage2:HF_Weekly_Modifier", "features_stage1": [ "mortgage_rate_30y", "cc_delinquency_rate", "mbs_spread_proxy" ], "features_stage2": [ "STLFSI4_financial_stress", "REDBOOK_retail", "SOFR_overnight" ], "loo_mae": 1.79, "backtest_mae": 5.65, "backtest_results": [ { "period": "SVB Crisis (Mar 2023)", "date": "2023-03-15", "actual_ofi": 55, "stage1_prediction": 56.3, "stage2_modifier": 4.35, "final_prediction": 60.7, "error": 5.7 }, { "period": "Peak Rate (May 2024)", "date": "2024-05-15", "actual_ofi": 48, "stage1_prediction": 54.4, "stage2_modifier": -0.8, "final_prediction": 53.6, "error": 5.6 }, { "period": "Rate Cut Start (Q4 2024)", "date": "2024-10-15", "actual_ofi": 44, "stage1_prediction": 46.5, "stage2_modifier": 0.0, "final_prediction": 46.5, "error": 2.5 }, { "period": "Q2 2025 Ease (Jun 2025)", "date": "2025-06-15", "actual_ofi": 38, "stage1_prediction": 46.8, "stage2_modifier": 0.0, "final_prediction": 46.8, "error": 8.8 } ], "current_prediction": { "stage1": 44.6, "stage2_modifier": 0.0, "final": 44.6, "actual_q2_2026": 47, "direction": "slight_easing" }, "scenarios_q3_2026": { "Base case": 44.6, "Oil shock (CDS\u2191)": 46.4, "Fed cut": 42.3, "Delinquency spike": 41.4, "Recession signal": 46.7, "Soft landing": 44.1 }, "key_findings": { "svb_crisis_captured": "STLFSI4 spike in Mar 2023 correctly predicted OFI tightening", "peak_rate_validated": "May 2024 high-rate regime correctly mapped to elevated OFI", "oil_mechanism": "Oil\u2192CPI\u2192MBS spread\u2192OFI (indirect, 1-2 quarter lag)", "delinquency_paradox": "Rising CC delinquency can ease OFI via volume compression" }, "model_v31": { "model_version": "3.1", "trained": "2026-05-31", "features": [ "mortgage_rate_30y", "cc_delinquency", "mbs_spread", "homeownership_rate", "rental_vacancy_rate", "housing_vacancy_rate" ], "new_features": [ "homeownership_rate", "rental_vacancy_rate", "housing_vacancy_rate" ], "fred_codes": { "homeownership_rate": "RHORUSQ156N", "rental_vacancy_rate": "RRVRUSQ156N", "housing_vacancy_rate": "USHVAC" }, "coefficients": { "mortgage_rate_30y": 9.0497, "cc_delinquency": -4.7186, "mbs_spread": 1.8511, "homeownership_rate": 0.9802, "rental_vacancy_rate": 1.0509, "housing_vacancy_rate": 0.7252 }, "q3_2026_prediction": 43.7, "rationale": { "homeownership_rate": "Lower homeownership \u2192 more renters \u2192 less FHA demand \u2192 lenders may ease overlays", "rental_vacancy_rate": "Higher vacancy \u2192 rental stress easing \u2192 more potential buyers \u2192 FHA demand up", "housing_vacancy_rate": "Very low vacancy \u2192 inventory crisis \u2192 FHA borrowers excluded by market competition" } }, "model_v32": { "model_version": "3.2", "trained": "2026-05-31", "features": [ "mortgage_rate_30y", "cc_delinquency", "mbs_spread", "homeownership_rate", "rental_vacancy", "housing_vacancy", "institutional_investor_share", "eviction_filing_rate", "insurance_stress_proxy" ], "n_features": 9, "new_features_added": { "institutional_investor_share": "Redfin quarterly investor purchase data \u2014 % of homes bought by investors", "eviction_filing_rate": "Princeton Eviction Lab \u2014 national eviction filings per 100 renter HH", "insurance_stress_proxy": "FRED CUUR0000SEHA \u2014 rent CPI YoY as insurance burden proxy" }, "loo_mae_comparison": { "v3.0 (3 features)": 1.79, "v3.1 (6 features)": 1.75, "v3.2 (9 features)": 1.86 }, "coefficients": { "mortgage_rate_30y": 6.0025, "cc_delinquency": -2.7825, "mbs_spread": 1.7526, "homeownership_rate": 1.0632, "rental_vacancy": -0.3015, "housing_vacancy": 1.0261, "institutional_investor_share": -1.3033, "eviction_filing_rate": 1.4659, "insurance_stress_proxy": 2.1216 }, "q3_2026_predictions": { "base_case": 44.5, "institutional_surge_20pct": 41.9, "insurance_crisis": 51.0 }, "data_sources": { "institutional_investor_share": "https://www.redfin.com/news/category/real-estate-market-news/investor-purchases/", "eviction_filing_rate": "https://evictionlab.org/eviction-tracking/get-the-data/", "insurance_stress_proxy": "FRED CUUR0000SEHA (rent of primary residence CPI)" } }, "price_to_rent_analysis": { "correlation_with_ofi": 0.045, "interpretation": "WEAK direct correlation \u2014 P/R ratio not linearly related to OFI", "paradox": "P/R rise \u2192 OFI fall (coefficient -2.499). When homes are expensive vs renting, FHA demand drops, lenders ease overlays to attract remaining buyers.", "mae_with_ptr": 1.58, "mae_without_ptr": 1.75, "mae_improvement": 0.17, "verdict": "P/R adds marginal predictive value (MAE 1.75\u21921.58) but through paradox mechanism. Included in v3.3.", "note": "Hakl\u0131s\u0131n \u2014 P/R anlaml\u0131 sal\u0131nm\u0131yor (range: 19.2-25.6, 7 y\u0131lda dar bant). Ama model onu negatif katsay\u0131yla kullan\u0131yor \u2014 demand suppression proxy olarak." }, "model_v35": { "model_version": "3.5_ensemble", "trained": "2026-06-01", "features": [ "mortgage_rate", "cc_delinq", "mbs_spread", "homeownership", "rental_vacancy", "housing_vacancy", "fha_denial_rate", "mba_purchase_index", "price_to_rent" ], "n_features": 9, "new_features": [ "fha_denial_rate_national", "mba_purchase_index", "price_to_rent_ratio" ], "loo_mae": { "ridge": 1.5, "ensemble": 1.63, "weighted": 1.74 }, "q3_2026": { "ridge": 45.0, "rf": 48.0, "ensemble": 46.5 }, "improvement": "1.75 \u2192 best achieved today" }, "model_v36": { "version": "3.6", "date": "2026-06-01", "features": [ "mortgage_rate_30y", "cc_delinquency", "mbs_spread", "homeownership_rate", "rental_vacancy", "housing_vacancy", "fha_denial_rate_national", "mba_purchase_index", "price_to_rent", "mortgage_delinquency_rate" ], "n_features": 10, "loo_mae": 1.48, "new_feature": "mortgage_delinquency_rate (FRED: DRSFRMACBS)", "progression": { "v3.0": 1.79, "v3.1": 1.75, "v3.4": 1.67, "v3.5": 1.5, "v3.6": 1.48 }, "q3_2026": 44.2 } }