Advanced Search
MyIDEAS: Login to save this paper or follow this series

Structural Breaks and Volatility of Gross Domestic Product: Evidence for Portugal

Contents:

Author Info

  • Jorge Andraz

    ()
    (Faculdade de Economia, Universidade do Algarve e CEFAGE-UE)

  • Nélia Norte

    ()
    (Faculdade de Economia, Universidade do Algarve)

Abstract

This paper presents an empirical analysis of volatility in GDP real growth rates for Portugal over the period 1960-2010. The objectives of this paper are threefold: (1) to assess the occurrence of “the Great Moderation” in Portugal and identify the timings of volatility changes; (2) to analyse the time varying nature of volatility, in particular whether it has been subject to gradual shifts over time or one-off major shifts, as well as the degree of symmetry/asymmetry across different phases of the business cycle; (3) to analyse the dynamic pattern of (a)symmetric behaviour over the sample period. By adopting GARCH modelling strategy accounting for the occurrence of regime changes in both the trend and volatility, the results reveal a progressive “moderation” in Portugal, characterized by two regime changes in both growth rates and volatility. The results suggest that the impact of negative shocks on volatility exceeds that of positive shocks at least 62.0% over the sample period. However, these asymmetric effects show a decreasing pattern over the sample period, indicating less vulnerability of the economy to exogenous shocks.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.cefage.uevora.pt/en/content/download/3087/41142/version/1/file/2012_09.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University of Evora, CEFAGE-UE (Portugal) in its series CEFAGE-UE Working Papers with number 2012_09.

as in new window
Length: 29 pages
Date of creation: 2012
Date of revision:
Handle: RePEc:cfe:wpcefa:2012_09

Contact details of provider:
Postal: Colégio Espírito SANTO
Phone: (351) 266 740 869
Email:
Web page: http://www.cefage.uevora.pt
More information through EDIRC

Related research

Keywords: GDP; volatility; structural change; business cycles; Portugal.;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Farhad Noorbakhsh, . "Human Development and Regional Disparities in Iran:A Policy Model," Working Papers 2001_1, Business School - Economics, University of Glasgow.
  2. Farhad Noorbakhsh, . "Human Development and Regional Disparities in India," Working Papers 2003_12, Business School - Economics, University of Glasgow.
  3. Neumayer, Eric, 2001. "The human development index and sustainability -- a constructive proposal," Ecological Economics, Elsevier, vol. 39(1), pages 101-114, October.
  4. Hendrik Wolff & Howard Chong & Maximilian Auffhammer, 2011. "Classification, Detection and Consequences of Data Error: Evidence from the Human Development Index," Working Papers UWEC-2008-10-P, University of Washington, Department of Economics.
  5. Farhad Noorbakhsh, 1998. "The human development index: some technical issues and alternative indices," Journal of International Development, John Wiley & Sons, Ltd., vol. 10(5), pages 589-605.
  6. Ravallion, Martin, 1997. "Good and bad growth: The human development reports," World Development, Elsevier, vol. 25(5), pages 631-638, May.
  7. Ricardo Fuentes-Nieva & Isabel Pereira, 2010. "The disconnect between indicators of sustainability and human development," Human Development Research Papers (2009 to present) HDRP-2010-34, Human Development Report Office (HDRO), United Nations Development Programme (UNDP).
  8. Mark McGillivray & Howard White, 1993. "Measuring development? The UNDP's human development index," Journal of International Development, John Wiley & Sons, Ltd., vol. 5(2), pages 183-192, 03.
  9. Farhad Noorbakhsh, 2005. "Spatial Inequality, Polarization and its Dimensions in Iran: New Empirical Evidence," Oxford Development Studies, Taylor & Francis Journals, vol. 33(3-4), pages 473-491.
  10. Sagar, Ambuj D. & Najam, Adil, 1998. "The human development index: a critical review," Ecological Economics, Elsevier, vol. 25(3), pages 249-264, June.
  11. Carmen Herrero & Ricardo Martínez & Antonio Villar, 2010. "Improving the Measurement of Human Development," Human Development Research Papers (2009 to present) HDRP-2010-12, Human Development Report Office (HDRO), United Nations Development Programme (UNDP).
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:cfe:wpcefa:2012_09. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Angela Pacheco).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.