Publicação
The Portuguese business cycle: chronology and duration dependence
| 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. |
|---|---|
| Autores principais: | Castro, Vítor |
| Assunto: | Business cycles Duration dependence Markov-switching |
| Ano: | 2011 |
| País: | Portugal |
| Tipo de documento: | working paper |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| _version_ | 1866878197775204352 |
|---|---|
| author | Castro, Vítor |
| author_facet | Castro, Vítor |
| author_role | author |
| contributor_name_str_mv | Universidade do Minho |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Castro, Vítor\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Universidade do Minho |
| datacite.creators.creator.creatorName.fl_str_mv | Castro, Vítor |
| datacite.date.Accepted.fl_str_mv | 2011-03-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2011-03-28T14:26:47Z |
| datacite.date.embargoed.fl_str_mv | 2011-03-28T14:26:47Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| datacite.subjects.subject.fl_str_mv | Business cycles Duration dependence Markov-switching |
| datacite.titles.title.fl_str_mv | The Portuguese business cycle: chronology and duration dependence |
| dc.contributor.none.fl_str_mv | Universidade do Minho |
| dc.creator.none.fl_str_mv | Castro, Vítor |
| dc.date.Accepted.fl_str_mv | 2011-03-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2011-03-28T14:26:47Z |
| dc.date.embargoed.fl_str_mv | 2011-03-28T14:26:47Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | https://hdl.handle.net/1822/11991 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_abf2 |
| dc.subject.none.fl_str_mv | Business cycles Duration dependence Markov-switching |
| dc.title.fl_str_mv | The Portuguese business cycle: chronology and duration dependence |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_8042 |
| 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. |
| dirty | 0 |
| eu_rights_str_mv | openAccess |
| format | workingPaper |
| fulltext.url.fl_str_mv | https://prod-dspace.uminho.pt/bitstreams/a92ad3b8-4e1f-414b-99ba-828621e162b9/download |
| id | rum_9cd04bb9507fd9f2b4e90663ee47c017 |
| identifier.url.fl_str_mv | https://hdl.handle.net/1822/11991 |
| instacron_str | repositorium |
| institution | Universidade do Minho |
| instname_str | Universidade do Minho |
| language | eng |
| network_acronym_str | rum |
| network_name_str | RepositóriUM - Universidade do Minho |
| oai_identifier_str | oai:repositorium.uminho.pt:1822/11991 |
| organization_str_mv | urn:organizationAcronym:repositorium |
| person_str_mv | Castro, Vítor |
| publishDate | 2011 |
| publisher.none.fl_str_mv | Universidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE) |
| reponame_str | RepositóriUM - Universidade do Minho |
| repository_id_str | urn:repositoryAcronym:rum |
| service_str_mv | urn:repositoryAcronym:rum |
| spelling | engUniversidade do Minho. Núcleo de Investigação em Políticas Económicas (NIPE)porThis 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.application/pdfporThe Portuguese business cycle: chronology and duration dependenceCastro, VítorHostingInstitutionOrganizationalUniversidade do Minhoe-mailmailto:repositorium@usdb.uminho.ptrepositorium@usdb.uminho.pt2011-03-28T14:26:47Z2011-032011-03-01T00:00:00ZHandlehttps://hdl.handle.net/1822/11991http://purl.org/coar/access_right/c_abf2open accessBusiness cyclesDuration dependenceMarkov-switching474281 bytesother research producthttp://purl.org/coar/resource_type/c_8042working paperhttp://purl.org/coar/access_right/c_abf2application/pdffulltexthttps://prod-dspace.uminho.pt/bitstreams/a92ad3b8-4e1f-414b-99ba-828621e162b9/download |
| spellingShingle | The Portuguese business cycle: chronology and duration dependence Castro, Vítor Business cycles Duration dependence Markov-switching |
| status | SINGLETON |
| subject.fl_str_mv | Business cycles Duration dependence Markov-switching |
| title | 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_short | The Portuguese business cycle: chronology and duration dependence |
| title_sort | The Portuguese business cycle: chronology and duration dependence |
| topic | Business cycles Duration dependence Markov-switching |
| topic_facet | Business cycles Duration dependence Markov-switching |
| url | https://hdl.handle.net/1822/11991 |
| visible | 1 |