IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/57015.html
   My bibliography  Save this paper

Endividamento antes e após a introdução do euro: análise ARDL do caso português
[Indebtedness before and after euro: an ARDL analysis of Portugal]

Author

Listed:
  • Gaspar, Catarina
  • Fuinhas, José Alberto
  • Marques, António Cardoso

Abstract

As a result of the transition to monetary stability, we analyzed the real effort rate with the debt service for Portugal in a context of a decrease in nominal interest rates. Monthly time series data from January 1991 to September 2013 were used. The UECM of the ARDL model was applied which allowed capturing the long-run and short-run effects. The results suggest that the Portuguese reality has two distinct behaviors, one before and one after effecting monetary union. We detected the presence of different variables in explaining the level of indebtedness in both periods. In the first period (1991M1- 1998M12), only financial effort is relevant when explaining the level of indebtedness of the economic agents. In the second period (1999M1-2013M9) the financial depth, German balance of payments and current balance and capital account are also statistically significant in the increase of the indebtedness level. The research supports that in the first period, the increase of financial effort reduces the level of indebtedness of the economic agents. In the second period, we have the presence of a structural break, resulting from the regime change that occurred in the economy. In this period, for a decrease of financial effort there is a reduction of the indebtedness level, in the long-run. The results support that there is a regime shift around 1999, whose economic nature produced an economic impact that caused indebtedness change, before and after euro introduction. For the second period (1999M1-2013M9) we obtained a cointegration relationship between financial effort and indebtedness.

Suggested Citation

  • Gaspar, Catarina & Fuinhas, José Alberto & Marques, António Cardoso, 2014. "Endividamento antes e após a introdução do euro: análise ARDL do caso português
    [Indebtedness before and after euro: an ARDL analysis of Portugal]
    ," MPRA Paper 57015, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:57015
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/57015/1/MPRA_paper_57015.pdf
    File Function: original version
    Download Restriction: no

    More about this item

    Keywords

    Nominal interest rates; debt service; monetary stability; indebtedness; ARDL.;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F15 - International Economics - - Trade - - - Economic Integration

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:57015. 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: (Joachim Winter) or (Rebekah McClure). General contact details of provider: http://edirc.repec.org/data/vfmunde.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.