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Journal Article
The long and the short of the federal funds target cuts
Owyang, Michael T. (2001-09)
Monetary Trends , Issue Sep

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
Nonlinear hedonics and the search for school district quality
Owyang, Michael T.; Hernandez-Murillo, Ruben; Chiodo, Abbigail J. (2005)
A school?s quality is often inferred from the premium a parent must pay to buy a house associated with a better school. Isolating this effect, however, is difficult because better schools also tend to be located in nicer neighborhoods and, therefore, cost more for reasons other than school quality. Although recent work has been relatively successful in isolating this effect, it is limited to the extent that it assumes a linear effect of schools on housing prices. We examine this relationship and find that the premium for school quality is nonlinear: There is a premium for houses in better ...
Working Papers , Paper 2003-039

Working Paper
Specification and Estimation of Bayesian Dynamic Factor Models: A Monte Carlo Analysis with an Application to Global House Price Comovement
Otrok, Christopher; Owyang, Michael T.; Kose, M. Ayhan; Jackson, Laura E. (2015-08-26)
We compare methods to measure comovement in business cycle data using multi-level dynamic factor models. To do so, we employ a Monte Carlo procedure to evaluate model performance for different specifications of factor models across three different estimation procedures. We consider three general factor model specifications used in applied work. The first is a single- factor model, the second a two-level factor model, and the third a three-level factor model. Our estimation procedures are the Bayesian approach of Otrok and Whiteman (1998), the Bayesian state space approach of Kim and Nelson ...
Working Papers , Paper 2015-31

Working Paper
Did affordable housing legislation contribute to the subprime securities boom?
Owyang, Michael T.; Hernandez-Murillo, Ruben; Ghent, Andra C. (2012)
No. In this paper we use a regression discontinuity approach to investigate whether affordable housing policies influenced origination or affected prices of subprime mortgages. We use merged loan-level data on non-prime securitized mortgages with individual- and neighborhood-level data for California and Florida. We find no evidence that lenders increased subprime originations or altered pricing around the discrete eligibility cutoffs for the Government Sponsored Enterprises (GSEs) affordable housing goals or the Community Reinvestment Act. Our results indicate that the extensive purchases of ...
Working Papers , Paper 2012-005

Working Paper
Real-Time Forecasting and Scenario Analysis using a Large Mixed-Frequency Bayesian VAR
Owyang, Michael T.; McCracken, Michael W.; Sekhposyan, Tatevik (2020-04-10)
We use a mixed-frequency vector autoregression to obtain intraquarter point and density forecasts as new, high frequency information becomes available. This model, delineated in Ghysels (2016), is specified at the lowest sampling frequency; high frequency observations are treated as different economic series occurring at the low frequency. As this type of data stacking results in a high-dimensional system, we rely on Bayesian shrinkage to mitigate parameter proliferation. We obtain high-frequency updates to forecasts by treating new data releases as conditioning information. The same ...
Working Papers , Paper 2015-030

Journal Article
Business cycle measures
Owyang, Michael T.; Engemann, Kristie M. (2010)
Business cycle measures can provide timely statistical evidence of turning points.
Economic Synopses

Working Paper
Forecasting Low Frequency Macroeconomic Events with High Frequency Data
Galvão, Ana B.; Owyang, Michael T. (2022-04)
Working Papers , Paper 2020-028

Working Paper
The Nonlinear Effects of Uncertainty Shocks
Owyang, Michael T.; Jackson, Laura E.; Kliesen, Kevin L. (2018-11-16)
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 uncertainty, the effect of a further increase in uncertainty is magnified. We find that uncertainty shocks in this environment have a more pronounced effect on real economic variables. We also conduct counterfactual experiments to determine the channels through which uncertainty acts. Uncertainty propagates through both the household consumption channel and through ...
Working Papers , Paper 2018-035

Journal Article
Output and unemployment: how do they relate today?
Owyang, Michael T.; Sekhposyan, Tatevik; Vermann, E. Katarina (2013-10)
Fifty years ago, Arthur Okun examined the relationship between output growth and the unemployment rate. The empirical relationship of the resulting ?Okun?s law? has remained largely intact since then, including during the Great Recession. However, while the law does fit our intuition about economic relationships, it should not necessarily be taken to be causal.
The Regional Economist , Issue October

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