The Portuguese business cycle: chronology and duration dependence

Detalhes bibliográficos
Autor(a) principal: Castro, Vítor
Data de Publicação: 2011
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/1822/11991
Resumo: This paper tries to identify, for the first time, a chronology for the Portuguese business cycle and test for the presence of duration dependence in the respective phases of expansion and contraction. A duration dependent Markov-switching vector autoregressive model is employed in that task. This model is estimated over monthly and year-on-year (monthly) growth rates of a set of relevant economic indicators, namely, industrial production, a composite leading indicator and, additionally, civilian employment. The estimated specifications allow us to identify four main periods of contraction during the last three decades and the presence of positive duration dependence in contactions, but not in expansions.
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spelling The Portuguese business cycle: chronology and duration dependenceBusiness cyclesDuration dependenceMarkov-switchingThis paper tries to identify, for the first time, a chronology for the Portuguese business cycle and test for the presence of duration dependence in the respective phases of expansion and contraction. A duration dependent Markov-switching vector autoregressive model is employed in that task. This model is estimated over monthly and year-on-year (monthly) growth rates of a set of relevant economic indicators, namely, industrial production, a composite leading indicator and, additionally, civilian employment. The estimated specifications allow us to identify four main periods of contraction during the last three decades and the presence of positive duration dependence in contactions, but not in expansions.Fundação para a Ciência e a Tecnologia (FCT)Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)Universidade do MinhoCastro, Vítor2011-032011-03-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/11991engNIPE - Working Paper series; 11http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_11_2011.pdfinfo: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:RCAAP2023-07-21T12:53:38Zoai:repositorium.sdum.uminho.pt:1822/11991Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T19:53:02.700096Repositório 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 Portuguese business cycle: chronology and duration dependence
title The Portuguese business cycle: chronology and duration dependence
spellingShingle The Portuguese business cycle: chronology and duration dependence
Castro, Vítor
Business cycles
Duration dependence
Markov-switching
title_short The Portuguese business cycle: chronology and duration dependence
title_full The Portuguese business cycle: chronology and duration dependence
title_fullStr The Portuguese business cycle: chronology and duration dependence
title_full_unstemmed The Portuguese business cycle: chronology and duration dependence
title_sort The Portuguese business cycle: chronology and duration dependence
author Castro, Vítor
author_facet Castro, Vítor
author_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Castro, Vítor
dc.subject.por.fl_str_mv Business cycles
Duration dependence
Markov-switching
topic Business cycles
Duration dependence
Markov-switching
description This paper tries to identify, for the first time, a chronology for the Portuguese business cycle and test for the presence of duration dependence in the respective phases of expansion and contraction. A duration dependent Markov-switching vector autoregressive model is employed in that task. This model is estimated over monthly and year-on-year (monthly) growth rates of a set of relevant economic indicators, namely, industrial production, a composite leading indicator and, additionally, civilian employment. The estimated specifications allow us to identify four main periods of contraction during the last three decades and the presence of positive duration dependence in contactions, but not in expansions.
publishDate 2011
dc.date.none.fl_str_mv 2011-03
2011-03-01T00:00:00Z
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/1822/11991
url http://hdl.handle.net/1822/11991
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv NIPE - Working Paper series; 11
http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_11_2011.pdf
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 Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
publisher.none.fl_str_mv Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
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
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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
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