The Portuguese Business Cycle: Chronology and Duration Dependence

Vitor Castro

No 2011-07, GEMF Working Papers from GEMF, Faculty of Economics, University of Coimbra

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.

Keywords: business cycles; duration dependence; Markov-switching. (search for similar items in EconPapers)
JEL-codes: C24 C41 E32 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2011-04
New Economics Papers: this item is included in nep-bec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Published in Empirical Economics 49, 325–342 (2015).

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Related works:
Journal Article: The Portuguese business cycle: chronology and duration dependence (2015)
Working Paper: The Portuguese Business Cycle: Chronology and Duration Dependence (2011)
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