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Author:Owyang, Michael T. 

Working Paper
Duration dependence in monetary policy: international evidence

We study the duration of monetary regimes in a simple neo-classical Phillips curve model. The model is an extension of Owyang (2001) and Owyang and Ramey (2001). In this paper, we consider the role of the duration of inflationary regimes on the average inflation rate in an international cross-section. We find that inflationary regimes in certain countries are duration dependent but anti-inflationary regimes are not. In addition, we find that countries with high central banker turnover switch from inflationary to anti-inflationary with lower probability.
Working Papers , Paper 2002-021

Working Paper
Reconsidering the Fed’s Forecasting Advantage

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

Working Paper
Modeling Volcker as a non-absorbing state: agnostic identification of a Markov-switching VAR

Recently, models of monetary policy have been constructed to include structural breaks to account for changes in policymaker preferences or operating procedures. These models typically assume that when changes occur, they happen once and for all. In this paper, we allow the policymaker and the economy to switch freely between regimes. We find that not only does the nature and effect of innovations to monetary policy change, but switching the policy rule and the economy's subsequent response can in and of itself alter the path of the economy. We find the switch itself can generate ...
Working Papers , Paper 2002-018

Working Paper
Structural breaks and regional disparities in the transmission of monetary policy

Using a regional VAR, we find large differences in the effects of monetary policy shocks across regions of the United States. We also find that the region-level effects of monetary policy differ a great deal between the pre-Volcker and Volcker-Greenspan periods in terms of their depth and length. The two sample periods also yield very different rankings of the regions in terms of the effects of monetary policy. Our regional VAR also suggests that aggregate VARs that ignore regional variations can suffer from severe aggregation bias. We use the results of our regional VAR to find evidence that ...
Working Papers , Paper 2003-008

Journal Article
Measuring Potential Output

So many ways to measure potential output, so little consensus?But different measurements don?t necessarily alter central bank policy decisions.
Economic Synopses , Issue 25 , Pages 1-2

Working Paper
Contagious Switching

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
The economic performance of cities: a Markov-switching approach

This paper examines the determinants of employment growth in metro areas. To obtain growth rates, we use a Markov-switching model that separates a city?s growth path into two distinct phases (high and low), each with its own growth rate. The simple average growth rate over some period is, therefore, the weighted average of the high-phase and low-phase growth rates, with the weight being the frequency of the two phases. We estimate the effects of a variety of factors separately for the high-phase and low-phase growth rates, along with the frequency of the low phase. We find that growth in the ...
Working Papers , Paper 2006-056

Journal Article
Extra credit: the rise of short-term liabilities

Not only are more American families in debt, but the median value of the debt more than doubled between 1989 and 2004. Credit cards and payday loans are two of the favorite tools for digging the hole deeper.
The Regional Economist , Issue Apr , Pages 12-13

Working Paper
The use of long-run restrictions for the identification of technology shocks

We survey the recent empirical literature using long run restrictions to identify technology shocks. We provide an illustrative walkthrough of the long-run restricted vector autoregression (VAR) methodology in a bivariate framework. Additionally, we offer an alternative identification of technology shocks that can be imposed by restrictions on the long-run impulse responses. Our results from this methodology compare favorably to the empirical literature that uses structural VARs to identify technology.
Working Papers , Paper 2003-010

Journal Article
The baby-boom boom

National Economic Trends , Issue Mar


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