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Gross domestic product growth, volatility and regime changes nexus: the case of Portugal

2017-04Journal article Restricted
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dc.contributor.authorAndraz, Jorge
dc.contributor.authorNorte, Nélia
dc.date.accessioned2019-11-20T15:07:43Z
dc.date.available2019-11-20T15:07:43Z
dc.date.issued2017-04
dc.description.abstractThis 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.
dc.description.sponsorshipFundacao para a Ciencia e a Tecnologia [UID/ECO/04007/2013]
dc.description.sponsorshipFEDER/COMPETE [POCI-01-0145-FEDER-007659]
dc.description.versioninfo:eu-repo/semantics/publishedVersion
dc.identifier.doi10.1007/s10258-017-0128-y
dc.identifier.issn1617-982X
dc.identifier.issn1617-9838
dc.identifier.urihttp://hdl.handle.net/10400.1/13178
dc.language.isoeng
dc.peerreviewedyes
dc.publisherSpringer Heidelberg
dc.subjectOutput variability tradeoff
dc.subjectReal gdp
dc.subjectUnited-states
dc.subjectGarch model
dc.subjectEconomic-growth
dc.subjectInflation
dc.subjectJapan
dc.subjectUncertainty
dc.subjectVariance
dc.subjectKingdom
dc.titleGross domestic product growth, volatility and regime changes nexus: the case of Portugal
dc.typejournal article
dspace.entity.typePublication
oaire.awardURIinfo:eu-repo/grantAgreement/FCT/5876/UID%2FECO%2F04007%2F2013/PT
oaire.citation.endPage16
oaire.citation.issue1
oaire.citation.startPage1
oaire.citation.titlePortuguese Economic Journal
oaire.citation.volume16
oaire.fundingStream5876
person.familyNameAndraz
person.familyNameNorte
person.givenNameJorge
person.givenNameNélia
person.identifier.ciencia-idEC1D-CDFD-EB51
person.identifier.ciencia-id2017-0ADA-07D2
person.identifier.orcid0000-0001-9209-3344
person.identifier.orcid0000-0003-0912-6972
person.identifier.ridB-5858-2009
person.identifier.scopus-author-id8566879600
project.funder.identifierhttp://doi.org/10.13039/501100001871
project.funder.nameFundação para a Ciência e a Tecnologia
rcaap.rightsrestrictedAccess
rcaap.typearticle
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relation.isAuthorOfPublicatione897c9f0-441f-478f-9646-5c583869cf60
relation.isAuthorOfPublication.latestForDiscoverye897c9f0-441f-478f-9646-5c583869cf60
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relation.isProjectOfPublication.latestForDiscovery3bdc8964-5f6a-45ab-aeca-5bbcb96bf78b

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