Autor(es):
Castro, Vítor 
Data: 2011
Identificador Persistente: http://hdl.handle.net/1822/11991
Origem: RepositóriUM - Universidade do Minho
Assunto(s): Business cycles; Duration dependence; Markov-switching
Detalhes do Documento
The Portuguese business cycle : chronology and duration dependence
Descrição
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.
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 de Documento
Research paper
Idioma Inglês
Idioma Inglês
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