Search Results - "Owyang, Michael"

Are Government Spending Multipliers Greater during Periods of Slack? Evidence from Twentieth-Century Historical Data by Owyang, Michael T., Ramey, Valerie A., Zubairy, Sarah

“…A key question that has arisen during recent debates is whether government spending multipliers are larger during times when resources are idle. This paper…”
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Forecasting low‐frequency macroeconomic events with high‐frequency data by Galvão, Ana Beatriz, Owyang, Michael

“…Summary High‐frequency financial and economic indicators are usually time‐aggregated before computing forecasts of macroeconomic events, such as recessions. We…”
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An endogenously clustered factor approach to international business cycles by Francis, Neville, Owyang, Michael T., Savascin, Ozge

“…Factor models have become useful tools for studying international business cycles. Block factor models can be especially useful as the zero restrictions on the…”
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A FLEXIBLE FINITE-HORIZON ALTERNATIVE TO LONG-RUN RESTRICTIONS WITH AN APPLICATION TO TECHNOLOGY SHOCKS by Francis, Neville, Owyang, Michael T., Roush, Jennifer E., DiCecio, Riccardo

“…Recent studies using long-run restrictions question the validity of the technology-driven real business cycle hypothesis. We propose an alternative…”
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Business Cycles across Space and Time by FRANCIS, NEVILLE, OWYANG, MICHAEL T., SOQUES, DANIEL

“…We study the comovement of international business cycles in a time‐series clustering model with regime switching. We extend the framework of Hamilton and…”
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MULTIVARIATE FORECAST EVALUATION AND RATIONALITY TESTING by Komunjer, Ivana, Owyang, Michael T.

“…In this paper, we propose a new family of multivariate loss functions to test the rationality of vector forecasts without assuming independence across…”
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Financial Stress Regimes and the Macroeconomy by GALVÃO, ANA BEATRIZ, OWYANG, MICHAEL T.

“…Some financial stress events lead to macroeconomic downturns, while others appear to be isolated to financial markets. We identify financial stress regimes…”
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Contagious switching by Owyang, Michael T., Piger, Jeremy, Soques, Daniel

“…Summary We analyze the propagation of recessions across countries using a model with multiple qualitative state variables in a vector autoregression (VAR). The…”
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THE PROPAGATION OF REGIONAL RECESSIONS by Hamilton, James D., Owyang, Michael T.

“…This paper develops a framework for inferring common Markov-switching components in panel data sets with large cross-section and time series dimensions. We…”
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Differences in subprime loan pricing across races and neighborhoods by Ghent, Andra C., Hernández-Murillo, Rubén, Owyang, Michael T.

“…We investigate whether race and ethnicity influenced subprime loan pricing during 2005, the peak of the subprime mortgage expansion. We combine loan-level data…”
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Clustered housing cycles by Hernández-Murillo, Rubén, Owyang, Michael T., Rubio, Margarita

“…Using a panel of U.S. city-level building permits data, we estimate a Markov-switching model of housing cycles that allows cities to systematically deviate…”
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Binary Conditional Forecasts by McCracken, Michael W., McGillicuddy, Joseph T., Owyang, Michael T.

“…While conditional forecasting has become prevalent both in the academic literature and in practice (e.g., bank stress testing, scenario forecasting), its…”
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Asymmetry, Complementarities, and State Dependence in Federal Reserve Forecasts by CAUNEDO, JULIETA, DICECIO, RICCARDO, KOMUNJER, IVANA, OWYANG, MICHAEL T.

“…Forecasts are a central component of policymaking; the Federal Reserve's forecasts are published in a document called the Greenbook. Previous studies of the…”
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International Stock Comovements with Endogenous Clusters by Coroneo, Laura, Jackson, Laura E., Owyang, Michael T.

“…We examine international stock return comovements of country-industry portfolios. Our model allows comovements to be driven by a global and a cluster…”
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FRED-SD: A real-time database for state-level data with forecasting applications by Bokun, Kathryn O., Jackson, Laura E., Kliesen, Kevin L., Owyang, Michael T.

“…We construct a real-time dataset (FRED-SD) with vintage data for the U.S. states that can be used to forecast both state-level and national-level variables…”
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A state-level analysis of Okun's law by Guisinger, Amy Y., Hernandez-Murillo, Ruben, Owyang, Michael T., Sinclair, Tara M.

“…Okun's law is an empirical relationship that measures the correlation between the deviation of the unemployment rate from its natural rate and the deviation of…”
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Countercyclical Policy and the Speed of Recovery after Recessions by FRANCIS, NEVILLE, JACKSON, LAURA E., OWYANG, MICHAEL T.

“…We consider policies intended to accelerate recoveries by analyzing the duration of recoveries of U.S. states. Studying multiple recessions for a state and…”
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Nonlinearities, smoothing and countercyclical monetary policy by Jackson, Laura E., Owyang, Michael T., Soques, Daniel

“…Empirical analysis of the Fed’s monetary policy behavior suggests that the Fed smooths interest rates– that is, the Fed moves the federal funds rate target in…”
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How has empirical monetary policy analysis in the U.S. changed after the financial crisis? by Francis, Neville R., Jackson, Laura E., Owyang, Michael T.

“…During the Great Recession, the Federal Reserve lowered the federal funds rate nearly to zero and began using unconventional monetary policy. A fed funds rate…”
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Debt and stabilization policy: Evidence from a Euro Area FAVAR by Jackson, Laura E., Owyang, Michael T., Zubairy, Sarah

“…The Euro Area poses a unique problem in evaluating policy: a currency union with a shared monetary policy and country-specific fiscal policy. Analysis can be…”
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