Michael T. Owyang
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View article: Impulse Response Functions for Self-Exciting Nonlinear Models
Impulse Response Functions for Self-Exciting Nonlinear Models Open
We calculate impulse response functions from regime-switching models where the driving variable can respond to the shock.Two methods used to estimate the impulse responses in these models are generalized impulse response functions and loca…
View article: Frontmatter
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View article: Frontmatter
Frontmatter Open
View article: Frontmatter
Frontmatter Open
View article: Impulse Response Functions for Self-Exciting Nonlinear Models
Impulse Response Functions for Self-Exciting Nonlinear Models Open
We calculate impulse response functions from regime-switching models where the driving variable can respond to the shock.Two methods used to estimate the impulse responses in these models are generalized impulse response functions and loca…
View article: Impulse Response Functions for Self-Exciting Nonlinear Models
Impulse Response Functions for Self-Exciting Nonlinear Models Open
View article: A time-varying threshold STAR model with applications
A time-varying threshold STAR model with applications Open
Smooth-transition autoregressive (STAR) models, competitors of Markov-switching models, are limited by an assumed time-invariant threshold level. We augment the STAR model with a time-varying threshold that can be interpreted as a ‘tipping…
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View article: Forecasting low‐frequency macroeconomic events with high‐frequency data
Forecasting low‐frequency macroeconomic events with high‐frequency data Open
Summary High‐frequency financial and economic indicators are usually time‐aggregated before computing forecasts of macroeconomic events, such as recessions. We propose a mixed‐frequency alternative that delivers high‐frequency probability …
View article: On the Relative Performance of Inflation Forecasts
On the Relative Performance of Inflation Forecasts Open
Pandemic-related product and labor supply shortages have led to an uptick in inflation that represents some of the fastest price growth since the beginning of the Great Recession.This uptick has renewed interest in forecasts of future infl…
View article: The Evolution of Regional Beveridge Curves
The Evolution of Regional Beveridge Curves Open
The slow recovery of the labor market in the aftermath of the Great Recession highlighted mismatch, the misallocation of workers across space or across industries.We consider the historical evolution of regional mismatch.We construct MSA-l…
View article: Binary Conditional Forecasts
Binary Conditional Forecasts Open
While conditional forecasting has become prevalent both in the academic literature and in practice (e.g., bank stress testing, scenario forecasting), its applications typically focus on continuous variables. In this article, we merge eleme…
View article: Reconsidering the Fed's Inflation Forecasting Advantage
Reconsidering the Fed's Inflation Forecasting Advantage Open
Previous studies show the Fed has a forecast advantage over the private sector, either because it devotes more resources to forecasting or because it has an informational advantage in knowing the path of future monetary policy.We evaluate …
View article: Age and Gender Differentials in Unemployment and Hysteresis
Age and Gender Differentials in Unemployment and Hysteresis Open
View article: Business Cycles across Space and Time
Business Cycles across Space and Time Open
We study the comovement of international business cycles in a time‐series clustering model with regime switching. We extend the framework of Hamilton and Owyang (2012) to include time‐varying transition probabilities to determine what driv…
View article: The Local Effects of Monetary Policy
The Local Effects of Monetary Policy Open
Many studies have documented disparities in the regional responses to monetary policy shocks. However, because of computational issues, the literature has often neglected the richest level of disaggregation: the city. In this paper, we est…
View article: Binary Conditional Forecasts*
Binary Conditional Forecasts* Open
While conditional forecasting has become prevalent both in the academic literature and in practice (e.g., bank stress testing, scenario forecasting), its applications typically focus on continuous variables. In this paper, we merge element…
View article: Binary Conditional Forecasts
Binary Conditional Forecasts Open
While conditional forecasting has become prevalent both in the academic literature and in practice (e.g., bank stress testing, scenario forecasting), its applications typically focus on continuous variables. In this article, we merge eleme…
View article: International Stock Comovements with Endogenous Clusters
International Stock Comovements with Endogenous Clusters Open
We examine international stock return comovements of country-industry portfolios. Our model allows comovements to be driven by a global and a cluster component, with the cluster membership endogenously determined. Results indicate that cou…
View article: Industrial Connectedness and Business Cycle Comovements
Industrial Connectedness and Business Cycle Comovements Open
The effect of economic shocks on business cycles fluctuations may vary across industries. For example, shocks that originate in a single industry may propagate elsewhere, either up or down stream in the production chain. Thus, industries t…
View article: Forecasting Low Frequency Macroeconomic Events with High Frequency Data
Forecasting Low Frequency Macroeconomic Events with High Frequency Data Open
High-frequency …nancial and economic indicators are usually time-aggregated before computing forecasts of macroeconomic events, such as recessions.We propose a mixedfrequency alternative that delivers high-frequency probability forecasts (…
View article: Business Cycles Across Space and Time
Business Cycles Across Space and Time Open
We study the comovement of international business cycles in a time series clustering model with regime-switching.We extend the framework of Hamilton and Owyang (2012) to include time-varying transition probabilities to determine what drive…
View article: A Bad Moon Rising? Uncertainty Shocks and Economic Outcomes
A Bad Moon Rising? Uncertainty Shocks and Economic Outcomes Open
CHAIRMAN POWELL.Good afternoon, everyone, and welcome.I will start with a recap of our discussions, including our assessment of the outlook for the economy and the judgments we made about our interest rate policy and our balance sheet.I wi…
View article: Tax Progressivity, Economic Booms, and Trickle-Up Economics
Tax Progressivity, Economic Booms, and Trickle-Up Economics Open
We propose a method to decompose changes in the tax structure into orthogonal components measuring the level and progressivity of taxes.Similar to tax shocks found in the existing empirical literature, the level shock is contractionary.The…
View article: The Nonlinear Effects of Uncertainty Shocks
The Nonlinear Effects of Uncertainty Shocks Open
We consider the effects of uncertainty shocks in a nonlinear VAR that allows uncertainty to have amplification effects. When uncertainty is relatively low, fluctuations in uncertainty have small, linear effects. In periods of high uncertai…
View article: Financial Stress Regimes and the Macroeconomy
Financial Stress Regimes and the Macroeconomy Open
Some financial stress events lead to macroeconomic downturns, while others appear to be isolated to financial markets. We identify financial stress regimes using a model that explicitly links financial variables to macro‐economic outcomes.…
View article: Comparing Measures of Potential Output
Comparing Measures of Potential Output Open
Potential output is an estimate of the level of gross domestic product attainable when the economy is operating at a high rate of resource use.A summary measure of the economy's productive capacity, potential output plays an important role…
View article: Measuring Potential Output
Measuring Potential Output Open
measures of potential output yield different output gaps, the differences between these measures have little impact on policy prescriptions, meaning central bank stabilization policy is likely robust to changes in estimation methodology fo…
View article: International Stock Comovements with Endogenous Clusters
International Stock Comovements with Endogenous Clusters Open
We examine international stock return comovements of country-industry portfolios. Our model allows comovements to be driven by a global and a cluster component, with the cluster membership endogenously determined. Results indicate that cou…