Please use this identifier to cite or link to this item: http://hdl.handle.net/1822/11991

TitleThe Portuguese business cycle: chronology and duration dependence
Author(s)Castro, Vítor
KeywordsBusiness cycles
Duration dependence
Markov-switching
Issue dateMar-2011
PublisherUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)
CitationNIPE - Working Paper series; 11
Abstract(s)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.
TypeWorking paper
URIhttp://hdl.handle.net/1822/11991
Publisher versionhttp://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_11_2011.pdf
Peer-Reviewedno
AccessOpen access
Appears in Collections:NIPE - Documentos de Trabalho

Files in This Item:
File Description SizeFormat 
NIPE_WP_11_2011.pdfNIPE_WP_11_2011463,17 kBAdobe PDFView/Open

Partilhe no FacebookPartilhe no TwitterPartilhe no DeliciousPartilhe no LinkedInPartilhe no DiggAdicionar ao Google BookmarksPartilhe no MySpacePartilhe no Orkut
Exporte no formato BibTex mendeley Exporte no formato Endnote Adicione ao seu ORCID