Michael T Owyang
Biographic Data
| ID | 6102880 |
|---|---|
| NAME | Michael T Owyang |
| GIVEN NAMES | Michael T |
| FAMILY NAME | Owyang |
| SIGNATURE | OWYANG M T |
| AFFILIATIONS | Federal Reserve Bank of St. Louis |
| ORCID | 0000-0002-2109-3432 |
| VERIFIED | Yes |
| TOTAL WORKS | 10 |
| TOTAL CITATIONS | 13 |
| WORKS AS AUTHOR | 10 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2005 |
| LATEST PUBLICATION YEAR | 2022 |
| H-INDEX | 2 |
Forecasting low‐frequency macroeconomic events with high‐frequency data
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 forecasts (including their confidence bands) for low‐frequency events. The new approach is compared with single‐frequency alternatives using loss functions for rare‐event forecasting. We find (i) the weekly‐sampled term…
Contagious switching
We analyze the propagation of recessions across countries using a model with multiple qualitative state variables in a vector autoregression (VAR). The VAR may include country‐level variables to determine whether policy also propagates across countries. We consider versions of the model with observed discrete states or unobserved discrete states, where the latter is inferred from fluctuations in economic data. We apply the model to Canada, Mexico…
Binary Conditional Forecasts
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 elements from the literature on the construction and implementation of conditional forecasts with the literature on forecasting binary variables. We use the Qual-VAR, whose joint VAR-probit structure allows us to for…
A Flexible Finite-Horizon Alternative to Long-Run Restrictions with an Application to Technology Shocks
Recent studies using long-run restrictions question the validity of the technology-driven real business cycle hypothesis. We propose an alternative identification that maximizes the contribution of technology shocks to the forecast-error variance of labor productivity at a long but finite horizon. In small-sample Monte Carlo experiments, our identification outperforms standard long-run restrictions by significantly reducing the bias in the short-…
Multivariate Forecast Evaluation and Rationality Testing
In this paper, we propose a new family of multivariate loss functions to test the rationality of vector forecasts without assuming independence across variables. When only one variable is of interest, the loss function reduces to the flexible asymmetric family proposed by Elliott, Komunjer, and Timmerman (2008). Following their methodology, we derive~a GMM test for multivariate forecast rationality that allows the forecaster's loss to be nonsepar…
The Propagation of Regional Recessions
This paper develops a framework for inferring common Markov-switching components in panel data sets with large cross-section and time series dimensions. We study similarities and differences across U.S. states in the timing of business cycles. We hypothesize that there exists a small number of cluster designations, with individual states in a given cluster sharing certain business cycle characteristics. We find that although oil-producing and agr…
Is housing the business cycle? Evidence from US cities
States and the business cycle
The economic performance of cities
Business Cycle Phases in U.S. States
The U.S. aggregate business cycle is often characterized as a series of distinct recession and expansion phases. We apply a regime-switching model to state-level coincident indices to characterize state business cycles in this way. We find that states differ a great deal in the levels of growth that they experience in the two phases: Recession growth rates are related to industry mix, whereas expansion growth rates are related to education and ag…
Business Cycle Phases in U.S. States
The U.S. aggregate business cycle is often characterized as a series of distinct recession and expansion phases. We apply a regime-switching model to state-level coincident indices to characterize state business cycles in this way. We find that states differ a great deal in the levels of growth that they experience in the two phases: Recession growth rates are related to industry mix, whereas expansion growth rates are related to education and ag…
The economic performance of cities
States and the business cycle
Is housing the business cycle? Evidence from US cities
Multivariate Forecast Evaluation and Rationality Testing
In this paper, we propose a new family of multivariate loss functions to test the rationality of vector forecasts without assuming independence across variables. When only one variable is of interest, the loss function reduces to the flexible asymmetric family proposed by Elliott, Komunjer, and Timmerman (2008). Following their methodology, we derive~a GMM test for multivariate forecast rationality that allows the forecaster's loss to be nonsepar…
The Propagation of Regional Recessions
This paper develops a framework for inferring common Markov-switching components in panel data sets with large cross-section and time series dimensions. We study similarities and differences across U.S. states in the timing of business cycles. We hypothesize that there exists a small number of cluster designations, with individual states in a given cluster sharing certain business cycle characteristics. We find that although oil-producing and agr…
A Flexible Finite-Horizon Alternative to Long-Run Restrictions with an Application to Technology Shocks
Recent studies using long-run restrictions question the validity of the technology-driven real business cycle hypothesis. We propose an alternative identification that maximizes the contribution of technology shocks to the forecast-error variance of labor productivity at a long but finite horizon. In small-sample Monte Carlo experiments, our identification outperforms standard long-run restrictions by significantly reducing the bias in the short-…
Forecasting low‐frequency macroeconomic events with high‐frequency data
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 forecasts (including their confidence bands) for low‐frequency events. The new approach is compared with single‐frequency alternatives using loss functions for rare‐event forecasting. We find (i) the weekly‐sampled term…
Contagious switching
We analyze the propagation of recessions across countries using a model with multiple qualitative state variables in a vector autoregression (VAR). The VAR may include country‐level variables to determine whether policy also propagates across countries. We consider versions of the model with observed discrete states or unobserved discrete states, where the latter is inferred from fluctuations in economic data. We apply the model to Canada, Mexico…
Binary Conditional Forecasts
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 elements from the literature on the construction and implementation of conditional forecasts with the literature on forecasting binary variables. We use the Qual-VAR, whose joint VAR-probit structure allows us to for…
Econometrics (10 works) · Economics (10 works) · Business cycle (8 works) · Macroeconomics (8 works) · Mathematics (8 works) · Monetary Policy and Economic Impact (8 works) · Statistics (6 works) · Computer Science (5 works) · Economic Growth and Productivity (4 works) · Recession (4 works)