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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.

Suggested Citation

  • Vítor Castro, 2011. "The Portuguese Business Cycle: Chronology and Duration Dependence," NIPE Working Papers 11/2011, NIPE - Universidade do Minho.
    • Handle: RePEc:nip:nipewp:11/2011
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    Cited by:

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    2. Vitor Castro, 2013. "The Portuguese stock market cycle: Chronology and duration dependence," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing, Centre for International Research on Economic Tendency Surveys, vol. 2013(1), pages 1-23.
    3. Fernando H.P.S Mendes & João Frois Caldeira & Guilherme Valle Moura, 2019. "Duration-dependent Markov-switching model: an empirical study for the Brazilian business cycle," Economics Bulletin, AccessEcon, vol. 39(1), pages 676-685.
    4. Legrand, Romain, 2014. "Euro introduction: Has there been a structural change? Study on 10 European Union countries," Economic Modelling, Elsevier, vol. 40(C), pages 136-151.

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    More about this item

    Keywords

    business cycles; duration dependence; Markov-switching;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models; Threshold Regression Models

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