Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/11991
Título: | The Portuguese business cycle: chronology and duration dependence |
Autor(es): | Castro, Vítor |
Palavras-chave: | Business cycles Duration dependence Markov-switching |
Data: | Mar-2011 |
Editora: | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
Citação: | NIPE - Working Paper series; 11 |
Resumo(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. |
Tipo: | Documento de trabalho |
URI: | https://hdl.handle.net/1822/11991 |
Versão da editora: | http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_11_2011.pdf |
Arbitragem científica: | no |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Documentos de Trabalho |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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NIPE_WP_11_2011.pdf | NIPE_WP_11_2011 | 463,17 kB | Adobe PDF | Ver/Abrir |