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GEMF

Grupo de Estudos Monetários e Financeiros

Estudos do GEMF, N.º 07 de 2011

   

The Portuguese Business Cycle: Chronology and Duration Dependence


Vitor Castro
GEMF / Faculdade de Economia, Universidade de Coimbra e 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 contractions, but not in expansions.

JEL Classification: E32, C41, C24.

Keywords:
Business cycles; duration dependence; Markov-switching.

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