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The Portuguese Business Cycle: Chronology and Duration Dependence

Vitor Castro

No 11/2011, NIPE Working Papers from NIPE - Universidade do Minho

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.

Keywords: business cycles; duration dependence; Markov-switching (search for similar items in EconPapers)
JEL-codes: C24 C41 E32 (search for similar items in EconPapers)
Date: 2011
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (2)

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