The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach

Detalhes bibliográficos
Autor(a) principal: Damásio, Bruno
Data de Publicação: 2018
Outros Autores: Louçã, Francisco, Nicolau, João
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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spelling 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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