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The Portuguese Business Cycle: Chronology and Duration Dependence

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  • Vítor Castro

    ()
    (Universidade de Coimbra 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 contactions, but not in expansions.

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File URL: http://www3.eeg.uminho.pt/economia/nipe/docs/2011/NIPE_WP_11_2011.pdf
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Bibliographic Info

Paper provided by NIPE - Universidade do Minho in its series NIPE Working Papers with number 11/2011.

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Date of creation: 2011
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Handle: RePEc:nip:nipewp:11/2011

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

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  1. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
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  21. Davig Troy, 2007. "Change-Points in U.S. Business Cycle Durations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(2), pages 1-23, May.
  22. J. Michael Durland & Thomas H. McCurdy, 1993. "Duration Dependent Transitions in a Markov Model of U.S. GNP Growth," Working Papers 887, Queen's University, Department of Economics.
  23. Nicholas Di Venuto & Allan Layton, 2005. "Do The Phases Of The Business Cycle Die Of Old Age?," Australian Economic Papers, Wiley Blackwell, vol. 44(3), pages 290-305, 09.
  24. Diebold, Francis X & Rudebusch, Glenn D, 1990. "A Nonparametric Investigation of Duration Dependence in the American Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 596-616, June.
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Cited by:
  1. Vitor Castro, 2013. "The Portuguese stock market cycle: Chronology and duration dependence," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2013(1), pages 1-23.

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