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Duration dependence and change-points in the likelihood of credit booms ending
Castro, Vítor; Kubota, MegumiWhether the likelihood of credit booms ending is dependent on its age or not, or whether the respective behaviour is smooth or bumpy are important issues to which the economic literature has not given attention yet. This paper tries to fill that gap in the literature, exploring those issues with a proper duration analysis. Credit booms are identified considering two criteria well established in the literature: ...
Macroeconomic determinants of the credit risk in the banking system : the case ...
Castro, VítorIn this paper, we analyse the link between the macroeconomic developments and the banking credit risk in a particular group of countries – Greece, Ireland, Portugal, Spain and Italy (GIPSI) – recently affected by unfavourable economic and financial conditions and to which, on this matter, the literature has not given a particular attention yet. Employing dynamic panel data approaches to these five countries ove...
What determines the duration of a fiscal consolidation program?
Agnelllo, Luca; Castro, Vítor; Sousa, Ricardo M.This paper assesses the determinants of the length of fiscal consolidation using annual data for 17 industrial countries over the period 1978-2009. Relying on a narrative approach to identify fiscal consolidation episodes, we show that fiscal variables (such as the budget deficit and the level of public debt) and economic factors (such as the degree of openness, the inflation rate, the interest rate and per cap...
Are there change-points in the likelihood of a fiscal consolidation ending?
Agnelllo, Luca; Castro, Vítor; Sousa, Ricardo M.Building on a narrative approach to identify episodes of fiscal consolidation, data for a group of 17 industrial countries over the period 1978-2009 and both continuous-time and discrete-time duration models, we find evidence suggesting that likelihood of a fiscal consolidation ending increases over time, but only for programs that last less than six years. Additionally, fiscal consolidations tend to last longe...
How does fiscal policy react to wealth composition and asset prices?
Agnello, Luca; Castro, Vítor; Sousa, Ricardo M.We assess the response of fical policy to developments in asset markets in the US and the UK. We estimate fical polyce rules augmented with aggregate wealth, wealth composition (i.e. financial and housing wealth) and asset prices (i.e. stock and housing prices) using: (i) a linear framework based on a fully simultaneous system approach; and (ii) two nonlinear specifications that rely on a smooth transition regr...
The portuguese stock market cycle : chronology and duration dependence
Castro, VítorThis paper tries to identify, for the first time, a chronology for the Portuguese stock market cycle and test for the presence of duration dependence in bull and bear markets. A duration dependent Markov-switching model is estimated over monthly growth rates of the Portuguese Stock Index for the period 1989-2010. Six episodes of bull/bear markets are identified during that period, as well as the presence of pos...
The Portuguese business cycle : chronology and duration dependence
Castro, VítorThis 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, na...
The impact of the European Union fiscal rules on economic growth
Castro, VítorThis paper analyses whether Maastricht and Stability and Growth Pact fiscal rules have affected growth in the European Union negatively. A growth equation is specified for a group of 15 European Union countries (and 8 OECD countries) over the period 1970–2005 to analyse this issue. Panel estimations using fixed-effects, pooled mean group and system-GMMestimators show that the institutional changes that occurred...
Mayors’ reelection choice and the economy : evidence from Portugal
Castro, Vítor; Martins, Rodrigo Caldeira de AlmeidaUsing a data set that covers all Portuguese mainland municipalities for the period 1979-2005, this study performs an empirical analysis of the economic determinants of Mayors' choice to run for another term. The literature on the subject is mainly centered on the United States and, as far as we know, no papers are found addressing the economic factors of this choice. Probit panel estimations show that local eco...
How do Central Banks react to wealth composition and asset prices?
Castro, Vítor; Sousa, Ricardo M.We assess the response of monetary policy to developments in asset markets in the Euro Area, the US and the UK. We estimate the reaction of monetary policy to wealth composition and asset prices using: (i) a linear framework based on a fully simultaneous system approach in a Bayesian environment; and (ii) a nonlinear specification that relies on a smooth transition regression model. The linear framework suggest...
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