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- The ‘great Moderation’ in OECD countries: Its deepness and implications with business cyclesPublication . Andraz, Jorge Miguel; Norte, NéliaThis paper presents an empirical analysis of the "Great Moderation" phenomenon characterized by a decrease of volatility in GDP real growth rates, using quarterly data for the OECD member states over the period 1960-2010. This paper expands the existing literature on methodological and empirical grounds. We use a GARCH modeling approach with endogenously determined structural breaks in both the trend and volatility, which provides more accurate way to model output volatility. The objectives of this paper are threefold: (1) to assess the occurrence of "the Great Moderation" and identify the timings of volatility changes; (2) to analyse the time varying nature of volatility, in particular whether it has been subject to gradual shifts over time or one-off major shifts, as well as the degree of symmetry/asymmetry across different phases of the business cycle; (3) to analyse the dynamic pattern of (a)symmetric behaviour over the sample period. The results reveal a progressive "moderation" in all countries, characterized by regime changes in both growth rates and volatility and suggest that countries differ on the relative magnitude of the impacts of negative shocks on volatility, relatively to those of positive shocks of similar magnitude over the sample period. The disaggregated analysis over subperiods reveals an increasing pattern of these asymmetries, as well as huge differences among the countries. While this suggests a higher vulnerability to negative exogenous shocks in some OECD economies, although with different levels, some economies seem to have developed higher levels of immunity to external shocks by reaching balanced effects from positive and negative shocks.
- On the relationship between soveregn bonds and credit default swaps in PortugalPublication . Andraz, Jorge Miguel; Viegas, Cristina; Norte, NéliaThis paper aims at identifying the relationship between government bonds spreads and credit default swaps premiums in Portugal for long and short maturities, covering a period that includes the beginning of the 2008 international financial crisis. We estimate Autoregressive Distributed Lag error correction models for the sub periods prior and after the moment crisis started. Results reveal the absence of cointegration over the sample period, with important differences prior and after 2010 in both maturities. There is no evidence of long-run relationship between both markets in both maturities, as the 2007 crisis has interrupted the long run relationship that was observed in the 5-year segment, and enacted a long run relationship in shorter maturities. The credit default swaps market performs a leading role on price determination in short-and long-run before the crisis but the role of the bond spread as a credit risk information has increased during the crisis.
- Histerese da taxa natural de desempregoPublication . Norte, NéliaNa Europa, o desemprego elevado e com tendência crescente tem sido considerado o maior desafio que hoje se apresenta aos decisores económicos. Ao longo do tempo, as explicações para este problema têm evoluído de acordo com as alterações constantes que a realidade económica se tem sujeitado. A relativa impotência da teoria económica, em encontrar uma explicação para o aumento da taxa natural de desemprego nos países europeus tem levado alguns economistas a procurar explicações baseadas na histerese. A popularidade crescente desta abordagem justifica uma análise mais detalhada da mesma. Este é o objectivo do artigo, ou seja, pretendemos explicar o surgimento da histerese, esclarecer as suas principais causas e identificar as melhores soluções em termos de política económica para fazer face ao problema do desemprego.
- The European tourism regions: location and economic significancePublication . Andraz, Jorge Miguel; Norte, Nélia; Silva, João AlbinoTourism is one of the largest and fastest growing industries, playing a key role in the economic growth of many European countries, with direct and indirect impacts on other economic sectors through multiplier effects. The national authorities are aware of its role and have given important steps attempting to influence the number of visitors, the timing and duration of visits. Nevertheless, little is known about the relative importance of tourism on a regional basis and little has been done regarding the creation of a truly common european tourism policy. This paper aims at providing an analysis of european regions regarding the importance tourism activities have on their economic structure. For analysis purposes, we consider regions Nuts II from a group of European Union western countries: Portugal, Spain, France, Luxemburg, the Netherlands, Belgium, The United Kingdom, Germany, Italy, Austria, Greece, Denmark, Ireland and Finland. We start by outlining a quantified analysis of tourism activities structure in each country by building a weighted tourist location index in order to provide a ranking of regions by the importance those activities have on each country’s economic structure. Finally, we analyse the basic trends of tourism policies international framework by focusing the main vectors of national policies, in particular, promotion, direct investment, subsidies, labour market intervention and regulation.
- Gross domestic product growth, volatility and regime changes nexus: the case of PortugalPublication . Andraz, Jorge; Norte, NéliaThis paper provides evidence of the behavior of GDP growth volatility in Portugal over the period from 1961 to 2016 with the main objective of measuring the degree of asymmetry of GDP growth rates volatility across the business cycles and its persistence over time. The methodological setting benefits from the most recent developments that recommend the consideration of structural changes in both the mean and variance and asymmetric reactions of volatility to positive and negative shocks. The results document structural changes and significant reductions of GDP growth rates volatility consistent with the "Great Moderation" phenomenon and reveal that the impact of negative shocks on volatility exceeds that of positive shocks more than 4 times over the sample period. Moreover, these asymmetries follow a rather stable pattern over the sample period, suggesting that the Portuguese economy has not been able to reduce its growth vulnerability to cyclical fluctuations.
- A curva de Philips: contribuições de Philips e LipseyPublication . Norte, NéliaO interesse que a curva de Phillips alcançou foi excepcional para um estudo empírico com conteúdo teórico relativamente pequeno. Após a sua publicação em 1958, a relação entre o desemprego e as alterações no salário foi estudada e discutida pelas diferentes escolas que têm estado envolvidas no debate macroeconómico desde 1958 até aos nossos dias. A contribuição dos estudos de Phillips para a macroeconomia tem sido objecto da maior atenção ao longo dos últimos 50 anos. O presente trabalho analisa, em primeiro lugar, o artigo de Phillips de 1958. Em segundo lugar estudaremos a abordagem teórica do “trade-off” inflação-desemprego que foi proposta nos anos imediatamente a seguir à aparição da curva de Phillips, isto é, o artigo publicado por Lipsey em 1960, que desempenhou um papel importante no caso da referida curva. A interpretação de Lipsey liga a contribuição de Phillips com a síntese neoclássica keynesiana. Posteriormente assinalamos as desvantagens da contribuição teórica de Lipsey que foi severamente criticada pelos economistas neoclássicos no período subsequente. Por último teceremos algumas conclusões sobre a matéria em análise.
- Output volatility in the OECD: are the member states becoming less vulnerable to exogenous shocks?Publication . Andraz, Jorge Miguel; Norte, NéliaThis paper analysis the vulnerability of the OECD member states to external shocks by estimating the degree of asymmetric effects from positive and negative shocks. We use asymmetric conditional heteroscedasticity models with endogenously determined regime changes in a context of progressive moderation in both moments. The results suggest that recessions are associated with higher volatility and significant leverage effects. The estimated impacts of negative and positive shocks amount to 0.961 and 0.028, respectively. The disaggregated analysis over different periods reveals an increasing pattern of these asymmetries, as well as huge differences among the countries. The country-specific analysis suggest an increasing vulnerability to negative exogenous shocks in Australia, Denmark, Finland, Japan, Mexico, the Netherlands, Turkey and the United Kingdom, although with different levels, and decreasing vulnerability in Canada, Greece, Italy and New Zealand. Finally, some economies seem to have developed higher levels of immunity to external shocks by reaching balanced effects from positive and negative shocks. Among these are the largest European economies, together with the northern economies, the United States and the wealthiest economies of Luxembourg and Switzerland.
- Do tourism spillovers matter in regional economic analysis? An application to PortugalPublication . Andraz, Jorge Miguel; Norte, Nélia; Gonçalves, Hugo S.This study estimates tourism's effects on economic performance at the national and regional levels, accounting explicitly for the existence of regional spillovers. The results suggest that there are important regional spillover effects on output, employment, and investment, respectively, and regions benefit differently from tourism located in the region and tourism located elsewhere in the country. The geographical pattern that emerges from the results is that the direct effects are more important in the central regions, while spillovers are more important in the northern and southern regions, the latter being one of the most important touristic regions in the country.
- Are the portuguese regions converging to a single steady state?Publication . Andraz, Jorge Miguel; Norte, NéliaThis paper is concerned with examining the economic performance of the Portuguese regions Nuts III. In particular, it seeks to present empirical evidence about the degree of convergence in their economic performance since 1990 when regions became the recipients of the European Community Structural Funds. Panel data regressions are estimated and the results suggest structural differences among regions leading to the existence of different steady state levels of income. Moreover, regions are converging to different steady states at an annual rate of 2.15%. As a corollary, results suggest that national policies, while contributing to improving the country's living standards relative to the European average, might not have been able to achieve the economic cohesion of the country.