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The Portuguese Business Cycle: Chronology and Duration Dependence

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  • Vitor Castro

    ()
    (University of Coimbra, GEMF and NIPE)

Abstract

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 contractions, but not in expansions.

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Bibliographic Info

Paper provided by GEMF - Faculdade de Economia, Universidade de Coimbra in its series GEMF Working Papers with number 2011-07.

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Length: 38 pages
Date of creation: Apr 2011
Date of revision:
Handle: RePEc:gmf:wpaper:2011-07

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Keywords: business cycles; duration dependence; Markov-switching.;

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Cited by:
  1. Vítor Castro, 2011. "The Portuguese Stock Market Cycle: Chronology and Duration Dependence," NIPE Working Papers 13/2011, NIPE - Universidade do Minho.

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