The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach
Autor(a) principal: | |
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Data de Publicação: | 2018 |
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/10400.5/25940 |
Resumo: | A nonparametric method is presented in order to estimate the expected time to cross a threshold on the basis of two assumptions, a Markovian property and stationarity. An empirical application is provided, using this method to investigate the dynamics of the GDP of 16 countries of the European Union for a long period, 1962–2016, and to detect the patterns of growth rates and expected mean reversion time after a negative, i.e a recession, or a positive deviation from the trend. The conclusion supports the hypothesis of an economic regime change in the eurozone, affecting in particular the peripheral countries of southern Europe, ignited by the creation of the common currency. |
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The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approachEconomic Regime ChangeEconomic DivergenceMarkov ChainExpected Hitting TimesA nonparametric method is presented in order to estimate the expected time to cross a threshold on the basis of two assumptions, a Markovian property and stationarity. An empirical application is provided, using this method to investigate the dynamics of the GDP of 16 countries of the European Union for a long period, 1962–2016, and to detect the patterns of growth rates and expected mean reversion time after a negative, i.e a recession, or a positive deviation from the trend. The conclusion supports the hypothesis of an economic regime change in the eurozone, affecting in particular the peripheral countries of southern Europe, ignited by the creation of the common currency.ElsevierRepositório da Universidade de LisboaDamásio, BrunoLouçã, FranciscoNicolau, João2022-11-07T10:06:54Z20182018-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/25940engDamásio, Bruno, Francisco Louçã, and João Nicolau.(2018). "The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach" . Physica A: Statistical Mechanics and its Applications , Vol. 507: pp. 524-533.0378 - 437110.1016/j.physa.2018.05.089info: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:RCAAP2024-11-20T19:27:49Zoai:repositorio.ul.pt:10400.5/25940Portal AgregadorONGhttps://www.rcaap.pt/oai/openairemluisa.alvim@gmail.comopendoar:71602024-11-20T19:27:49Repositório 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 |
The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach |
title |
The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach |
spellingShingle |
The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach Damásio, Bruno Economic Regime Change Economic Divergence Markov Chain Expected Hitting Times |
title_short |
The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach |
title_full |
The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach |
title_fullStr |
The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach |
title_full_unstemmed |
The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach |
title_sort |
The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach |
author |
Damásio, Bruno |
author_facet |
Damásio, Bruno Louçã, Francisco Nicolau, João |
author_role |
author |
author2 |
Louçã, Francisco Nicolau, João |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Damásio, Bruno Louçã, Francisco Nicolau, João |
dc.subject.por.fl_str_mv |
Economic Regime Change Economic Divergence Markov Chain Expected Hitting Times |
topic |
Economic Regime Change Economic Divergence Markov Chain Expected Hitting Times |
description |
A nonparametric method is presented in order to estimate the expected time to cross a threshold on the basis of two assumptions, a Markovian property and stationarity. An empirical application is provided, using this method to investigate the dynamics of the GDP of 16 countries of the European Union for a long period, 1962–2016, and to detect the patterns of growth rates and expected mean reversion time after a negative, i.e a recession, or a positive deviation from the trend. The conclusion supports the hypothesis of an economic regime change in the eurozone, affecting in particular the peripheral countries of southern Europe, ignited by the creation of the common currency. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018 2018-01-01T00:00:00Z 2022-11-07T10:06:54Z |
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/10400.5/25940 |
url |
http://hdl.handle.net/10400.5/25940 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Damásio, Bruno, Francisco Louçã, and João Nicolau.(2018). "The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach" . Physica A: Statistical Mechanics and its Applications , Vol. 507: pp. 524-533. 0378 - 4371 10.1016/j.physa.2018.05.089 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Elsevier |
publisher.none.fl_str_mv |
Elsevier |
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 |
mluisa.alvim@gmail.com |
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1817549524912046080 |