Gross domestic product growth, volatility and regime changes nexus : the case of Portugal
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/15758 |
Resumo: | This paper provides evidence of the behavior of GDP growth volatil- ity in Portugal over the period from 1961 to 2016 with the main objective of measuring the degree of asymmetry of GDP growth rates volatility across the business cycles and its persistence over time. The methodological setting benefits from the most recent developments that recommend the consideration of structural changes in both the mean and variance and asymmetric reactions of volatility to positive and negative shocks. The results document structural changes and significant reductions of GDP growth rates volatility consistent with the “Great Moderation” phenomenon and reveal that the impact of nega- tive shocks on volatility exceeds that of positive shocks more than 4 times over the sample period. Moreover, these asymmetries follow a rather stable pattern over the sample period, suggesting that the Portuguese economy has not been able to reduce its growth vulnerability to cyclical fluctuations. |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Gross domestic product growth, volatility and regime changes nexus : the case of PortugalGDPVolatilityStructural changeGARCHPortugalThis paper provides evidence of the behavior of GDP growth volatil- ity in Portugal over the period from 1961 to 2016 with the main objective of measuring the degree of asymmetry of GDP growth rates volatility across the business cycles and its persistence over time. The methodological setting benefits from the most recent developments that recommend the consideration of structural changes in both the mean and variance and asymmetric reactions of volatility to positive and negative shocks. The results document structural changes and significant reductions of GDP growth rates volatility consistent with the “Great Moderation” phenomenon and reveal that the impact of nega- tive shocks on volatility exceeds that of positive shocks more than 4 times over the sample period. Moreover, these asymmetries follow a rather stable pattern over the sample period, suggesting that the Portuguese economy has not been able to reduce its growth vulnerability to cyclical fluctuations.Springer VerlagRepositório da Universidade de LisboaAndraz, Jorge M.Norte, Nélia M.2018-07-02T10:42:24Z2017-042017-04-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/15758engAndraz, Jorge M. e Nélia M. Norte (2017). "Gross domestic product growth, volatility and regime changes nexus : the case of Portugal". Portuguese Economic Journal, 16(1):1-161617-982X (print)10.1007/s10258-017-0128-ymetadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-05-28T01:31:00Zoai:www.repository.utl.pt:10400.5/15758Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:20.768283Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Gross domestic product growth, volatility and regime changes nexus : the case of Portugal |
title |
Gross domestic product growth, volatility and regime changes nexus : the case of Portugal |
spellingShingle |
Gross domestic product growth, volatility and regime changes nexus : the case of Portugal Andraz, Jorge M. GDP Volatility Structural change GARCH Portugal |
title_short |
Gross domestic product growth, volatility and regime changes nexus : the case of Portugal |
title_full |
Gross domestic product growth, volatility and regime changes nexus : the case of Portugal |
title_fullStr |
Gross domestic product growth, volatility and regime changes nexus : the case of Portugal |
title_full_unstemmed |
Gross domestic product growth, volatility and regime changes nexus : the case of Portugal |
title_sort |
Gross domestic product growth, volatility and regime changes nexus : the case of Portugal |
author |
Andraz, Jorge M. |
author_facet |
Andraz, Jorge M. Norte, Nélia M. |
author_role |
author |
author2 |
Norte, Nélia M. |
author2_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Andraz, Jorge M. Norte, Nélia M. |
dc.subject.por.fl_str_mv |
GDP Volatility Structural change GARCH Portugal |
topic |
GDP Volatility Structural change GARCH Portugal |
description |
This paper provides evidence of the behavior of GDP growth volatil- ity in Portugal over the period from 1961 to 2016 with the main objective of measuring the degree of asymmetry of GDP growth rates volatility across the business cycles and its persistence over time. The methodological setting benefits from the most recent developments that recommend the consideration of structural changes in both the mean and variance and asymmetric reactions of volatility to positive and negative shocks. The results document structural changes and significant reductions of GDP growth rates volatility consistent with the “Great Moderation” phenomenon and reveal that the impact of nega- tive shocks on volatility exceeds that of positive shocks more than 4 times over the sample period. Moreover, these asymmetries follow a rather stable pattern over the sample period, suggesting that the Portuguese economy has not been able to reduce its growth vulnerability to cyclical fluctuations. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-04 2017-04-01T00:00:00Z 2018-07-02T10:42:24Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/15758 |
url |
http://hdl.handle.net/10400.5/15758 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Andraz, Jorge M. e Nélia M. Norte (2017). "Gross domestic product growth, volatility and regime changes nexus : the case of Portugal". Portuguese Economic Journal, 16(1):1-16 1617-982X (print) 10.1007/s10258-017-0128-y |
dc.rights.driver.fl_str_mv |
metadata only access info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
metadata only access |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Springer Verlag |
publisher.none.fl_str_mv |
Springer Verlag |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131102164549632 |