Castro_PtBusCycle.pdf (241.35 kB)
The Portuguese business cycle: chronology and duration dependence
This paper tries to identify 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 year-on-year 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 some evidence of positive duration dependence in contractions, but not in expansions, especially when employment is added to the model.
Funding
The author thanks the financial support provided by the Portuguese Foundation for Science and Technology under research Grant PEst-C/EGE/UI3182/2011 (partially funded by COMPTE, QREN and FEDER).
History
School
- Business and Economics
Department
- Economics
Published in
Empirical EconomicsVolume
49Issue
1Pages
325 - 342Citation
CASTRO, V., 2015. The Portuguese business cycle: chronology and duration dependence. Empirical Economics, 49 (1), pp. 325-342.Publisher
© SpringerVersion
- AM (Accepted Manuscript)
Publisher statement
This work is made available according to the conditions of the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International (CC BY-NC-ND 4.0) licence. Full details of this licence are available at: https://creativecommons.org/licenses/by-nc-nd/4.0/Publication date
2015Notes
The final publication is available at Springer via http://dx.doi.org/10.1007/s00181-014-0860-4.ISSN
0377-7332eISSN
1435-8921Publisher version
Language
- en