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Working Paper
Age and Gender Differentials in Unemployment and Hysteresis
Owyang, Michael T.; Guisinger, Amy Y.; Jackson, Laura E. (2022-07-21)
We use a time-varying panel unobserved components model to estimate unemployment gaps disaggregated by age and gender. Recessions before COVID affected men's labor market outcomes more than women's; however, the reverse was true for the COVID recession, with effects amplified for younger workers. The aggregate Phillips curve flattens over time and hysteresis is countercyclical for all groups. We find heterogeneity in both the Phillips curve and hysteresis coefficients, with wages responding more to workers with an outside option (high school- and retirement-age) and larger effects of ...
Working Papers , Paper 2022-015

Working Paper
Asymmetry, Complementarities, and State Dependence in Federal Reserve Forecasts
Owyang, Michael T.; DiCecio, Riccardo; Komunjer, Ivana; Caunedo, Julieta (2017-12-29)
Forecasts are a central component of policy making; the Federal Reserve''s forecasts are published in a document called the Greenbook. Previous studies of the Greenbook''s inflation forecasts have found them to be rationalizable but asymmetric if considering particular sub-periods, e.g., before and after the Volcker appointment. In these papers, forecasts are analyzed in isolation, assuming policymakers value them independently. We analyze the Greenbook fore- casts in a framework in which the forecast errors are allowed to interact. We find that allowing the losses to interact makes the ...
Working Papers , Paper 2013-012

Working Paper
Reconsidering the Fed’s Forecasting Advantage
Owyang, Michael T.; McCracken, Michael W.; Guisinger, Amy Y. (2022-01-02)
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 the Fed’s forecast advantage to determine how much of it results from the Fed’s knowledge of the conditioning path. We develop two tests—an instrumental variable encompassing test and a path-dependent encompassing test—to equalize the Fed’s information set with the private sector’s. We find that, generally, the Fed does not encompass the private ...
Working Papers , Paper 2022-001

Journal Article
Look who's still working now
Owyang, Michael T.; Engemann, Kristie M. (2007-06)
National Economic Trends , Issue Jun

Journal Article
China's Economic Data: An Accurate Reflection, or Just Smoke and Mirrors?
Owyang, Michael T.; Shell, Hannah (2017)
Find out why accurate reporting by China on its economy is important and how doubting outsiders are stepping in with their own measurements.
The Regional Economist , Volume 25 , Issue 2

Working Paper
The low-frequency impact of daily monetary policy shocks
Owyang, Michael T.; Ghysels, Eric; Francis, Neville (2011)
With rare exception, studies of monetary policy tend to neglect the timing of the innovations to the monetary policy instrument. Models which do take timing seriously are often difficult to compare to standard VAR models of monetary policy because of the differences in the frequency that they use. We propose an alternative model using MIDAS regressions which nests both ideas: Accurate (daily) timing of innovations to the monetary policy instrument are embedded in a monthly frequency VAR to determine the macroeconomic effects of high frequency changes to policy. We find that taking into ...
Working Papers , Paper 2011-009

Working Paper
Identifying technology shocks in the frequency domain
Owyang, Michael T.; DiCecio, Riccardo (2010)
Since Gal [1999], long-run restricted VARs have become the standard for identifying the effects of technology shocks. In a recent paper, Francis et al. [2008] proposed an alternative to identify technology as the shock that maximizes the forecast-error variance share of labor productivity at long horizons. In this paper, we propose a variant of the Max Share identification, which focuses on maximizing the variance share of labor productivity in the frequency domain. We consider the responses to technology shocks identified from various frequency bands. Two distinct technology shocks emerge. ...
Working Papers , Paper 2010-025

Working Paper
What explains the varying monetary response to technology shocks in G-7 countries?
Owyang, Michael T.; Theodorou, Athena T.; Francis, Neville (2005)
In a recent paper, Gal, Lpez-Salido, and Valls (2003) examined the Federal Reserve?s response to VAR-identified technology shocks. They found that during the Martin-Burns- Miller era, the Fed responded to technology shocks by overstabilizing output, while in the Volcker-Greenspan era, the Fed adopted an inflation-targeting rule. We extend their analysis to countries of the G-7; moreover, we consider the factors that may contribute to differing monetary responses across countries. Specifically, we find a relationship between the volatility of capital investment, type of monetary policy rule, ...
Working Papers , Paper 2004-002

Working Paper
A flexible finite-horizon alternative to long-run restrictions with an application to technology shock
Owyang, Michael T.; Roush, Jennifer E.; DiCecio, Riccardo; Francis, Neville (2010)
Recent studies using long-run restrictions question the validity of the technology-driven real business cycle hypothesis. We propose an alternative identi cation 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-run impulse responses and raising their estimation precision. Unlike its long-run restriction counterpart, when our Max Share identification ...
Working Papers , Paper 2005-024

Journal Article
Regional aggregation in forecasting: an application to the Federal Reserve’s Eighth District
Hernandez-Murillo, Ruben; Engemann, Kristie M.; Owyang, Michael T. (2011-05)
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 ...
Review , Volume 93 , Issue May

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