Portuguese Economic Journal, 2017, Volume 16, Nº 1
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- Gross domestic product growth, volatility and regime changes nexus : the case of PortugalPublication . Andraz, Jorge M.; Norte, Nélia M.This paper provides evidence of the behavior of GDP growth volatil- ity 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 nega- tive 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.
- Determinants of capital flows to emerging and advanced economies between 1990 and 2011Publication . Tchorek, Grzegorz; Brzozowski, Michał; Śliwiński, PawełThe previous and latest crises confirmed that stability of external financing of the economy is determined not only by the volume of capital inflow but also by its structure. It is established that a bias in gross external liabilities towards debt, especially short-term, may rise vulnerability to financial crises. Greater share of equity capital, mainly direct investment is not found to bear such financial risk. The results of Bayesian Model Averaging (BMA) show that influence of variables inherent in macroeconomic and portfolio approaches varies depending on the type of capital inflow and the group of countries. We also find some arguments that equity investment is a more desirable form of foreign capital because debt inflows are more responsive to global factors and therefore more volatile. As a word of caution, we highlight the need for diversification and careful monitoring of external financing sources and forms.
- Portuguese and Brazilian stock market integration : a non-linear and detrended approachPublication . Ferreira, PauloBesides the historical heritage that Portugal and Brazil share, the last two decades have also shown an increase in some economic indicators, such as the percentage of imports/exports and foreign direct investment. In order to take advantage of all the benefits, the countries should increase economic integration, stock market integration being one of the possibilities. In this context, this paper analyses stock market integration between these two countries, using non-linear methodologies: detrended fluctuation analysis, detrended cross-correlation analysis and detrended moving-average cross-correlation analysis. Using the main stock indexes, and splitting the sample in six different periods, the main conclusion is that integration between these two countries increased over time. However, since 2013, the integration pattern has decreased, with the economic crisis both countries suffered being the main factor.