Search Results - Owyang, Michael

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…”
Get full text

Business Cycles across Space and Time by FRANCIS, NEVILLE, OWYANG, MICHAEL T., SOQUES, DANIEL

“… We extend the framework of Hamilton and Owyang (2012) to include time‐varying transition probabilities to determine what drives simultaneous business cycle turning points…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

Who benefits from increased government spending? A state-level analysis by Owyang, Michael T., Zubairy, Sarah

“…We simultaneously identify two government spending shocks: military spending shocks as defined by Ramey (2011) and federal spending shocks as defined by…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

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…”
Get full text

Reconsidering the Fed's Inflation Forecasting Advantage by GUISINGER, AMY Y., MCCRACKEN, MICHAEL W., OWYANG, MICHAEL T.

“…Previous studies show the Fed has a forecast advantage over the private sector for inflation. We evaluate this advantage to determine how much of it results…”
Get full text

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…”
Get full text

Regional VARs and the channels of monetary policy by Owyang, Michael T., Wall, Howard J.

“…We find that the magnitudes of the regional effects of monetary policy were considerably dampened during the Volcker-Greenspan era. For this era, regional…”
Get full text

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…”
Get full text

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…”
Get full text