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Journal Article
Using Brent and WTI oil prices to predict gasoline prices
Kliesen, Kevin L.; Owyang, Michael T. (2011)
The spot prices of West Texas Intermediate and Brent crude oil recently diverged. If this divergence persists, economists and energy analysts may want to focus on Brent prices when predicting the level of gasoline prices.
Economic Synopses

Journal Article
Regional aggregation in forecasting: an application to the Federal Reserve's Eighth District
Hernandez-Murillo, Ruben; Engemann, Kristie M.; Owyang, Michael T. (2008-10)
Hernndez-Murillo and Owyang (2006) showed that accounting for spatial correlations in regional data can improve forecasts of national employment. This paper considers whether the predictive advantage of disaggregate models remains when forecasting subnational data. The authors conduct horse races among several forecasting models in which the objective is to forecast regional- or state-level employment. For some models, the objective is to forecast using the sum of further disaggregated employment (i.e., forecasts of metropolitan statistical area (MSA)-level data are summed to yield ...
Regional Economic Development , Issue Oct , Pages 15-29

Journal Article
Survey says...
Owyang, Michael T.; Engemann, Kristie M. (2005-09)
National Economic Trends , Issue Sep

Journal Article
Look who's working now
Owyang, Michael T.; Engemann, Kristie M. (2006-04)
National Economic Trends , Issue Apr

Working Paper
Forecasting Low Frequency Macroeconomic Events with High Frequency Data
Galvão, Ana B.; Owyang, Michael T. (2020-09)
High-frequency financial and economic activity indicators are usually time aggregated before forecasts of low-frequency macroeconomic events, such as recessions, are computed. We propose a mixed-frequency modelling alternative that delivers high-frequency probability forecasts (including their confidence bands) for these low-frequency events. The new approach is compared with single-frequency alternatives using loss functions adequate to rare event forecasting. We provide evidence that: (i) weekly-sampled spread improves over monthly-sampled to predict NBER recessions, (ii) the predictive ...
Working Papers , Paper 2020-028

Working Paper
Contagious Switching
Owyang, Michael T.; Soques, Daniel; Piger, Jeremy M. (2021-02-28)
We analyze the propagation of recessions across countries. We construct a model that allows for multiple qualitative state variables in a vector autoregression (VAR) setting. The VAR structure allows us to include country-level variables to determine whether policy also propagates across countries. We consider two different versions of the model. One version assumes the discrete state of the economy (expansion or recession) is observed. The other assumes that the state of the economy is unobserved and must be inferred from movements in economic growth. We apply the model to Canada, Mexico, ...
Working Papers , Paper 2019-014

Working Paper
A State-Level Analysis of Okun's Law
Hernandez-Murillo, Ruben; Owyang, Michael T.; Sinclair, Tara M.; Guisinger, Amy Y. (2015-09-08)
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 output growth from its potential. This relationship is often referred to by policy makers and used by forecasters. In this paper, we estimate Okun's coefficients separately for each U.S. state using an unobserved components framework and find variation of the coefficients across states. We exploit this heterogeneity of Okun's coefficients to directly examine the potential factors that shape Okun's law, and find that indicators of more ...
Working Papers , Paper 2015-29

Journal Article
Rockets and Feathers: Why Don't Gasoline Prices Always Move in Sync with Oil Prices?
Owyang, Michael T.; Vermann, E. Katarina (2014-10)
Given that Americans still spend a considerable portion of their budget on gasoline (just under 4 percent in 2012), it?s important to understand why gas prices don?t always move in sync with oil prices. The latter are determined in a more-or-less centralized market, but the market for gas is often local, with prices affected by location, season and taxes, among other factors.
The Regional Economist

Working Paper
Explaining the evolution of pension structure and job tenure
Owyang, Michael T.; Friedberg, Leora (2004)
Average and expected job tenure of workers has fallen significantly over the last two decades. Workers have also experienced a major shift in pension coverage. Traditional defined benefit pensions, designed to reward long tenure, have become steadily less common, while defined contribution pensions, which are largely portable, have spread. The link between job tenure and pension trends has not been closely examined, but it offers insights about both phenomena. This paper uses a contract-theoretic matching model with moral hazard to explain changes in both pension structure and job tenure; we ...
Working Papers , Paper 2002-022

Working Paper
Identifying asymmetry in the language of the Beige Book: a mixed data sampling approach
Hernandez-Murillo, Ruben; Owyang, Michael T.; Piger, Jeremy M.; Armesto, Michelle T. (2007)
Studies of the predictive ability of the Federal Reserve's Beige Book, an anecdotal measure of regional economic conditions, for aggregate output and employment have proven inconclusive. This might be attributed, in part, to the irregular release schedule of the Beige Book. In this paper, we use a model that allows for data sampling at mixed frequencies to analyze the predictive power of the Beige Book for both aggregate and regional data. We find that the Beige Book's national summary predicts GDP and aggregate employment, but that the information content in the district reports for regional ...
Working Papers , Paper 2007-010

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