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Weakness of investment in Portugal : what role do credit supply and fiscal consolidation shocks play?

2019-02Journal article Restricted access
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dc.contributor.authorMaurin, Laurent
dc.date.accessioned2019-02-04T14:47:05Z
dc.date.available2019-02-04T14:47:05Z
dc.date.issued2019-02
dc.description.abstractIn order to illustrate how tightened financial conditions have hampered investment in Portugal, we estimate a Factor Augmented Vector AutoRegressive model (FAVAR) with Bayesian techniques. We extract a financial conditions indicator and identify credit supply, demand and fiscal consolidation shocks with sign restrictions. We show that changes in financial conditions, which result from both credit supply shocks and fiscal shocks, have a protracted impact, especially on bank loans and bank lending spreads. We then develop a scenario in which we the tightening in financial condi- tions in the wake of the sovereign crisis is attributed to credit supply shocks. The analysis suggests that, due to the crisis, by the end of 2017, Portuguese GDP, corpo- rate investment and corporate loans were reduced by respectively 6, 22 and 20 p.p., public investment by 1 p.p. of GDP and bank lending spreads widened by 80 b.p.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.citationMaurin, Laurent (2019). "Weakness of investment in Portugal : what role do credit supply and fiscal consolidation shocks play?". Portuguese Economic Journal, 18(1):19-45pt_PT
dc.identifier.doi10.1007/s10258-018-00151-ypt_PT
dc.identifier.issn1617-982X (print)
dc.identifier.issn1617-9838 (online)
dc.identifier.urihttp://hdl.handle.net/10400.5/17308
dc.language.isoporpt_PT
dc.peerreviewedyespt_PT
dc.publisherSpringer Verlagpt_PT
dc.subjectCorporate investmentpt_PT
dc.subjectPublic investmentpt_PT
dc.subjectFinancial indicatorspt_PT
dc.subjectActivitypt_PT
dc.subjectCost of financingpt_PT
dc.subjectBank loanspt_PT
dc.subjectFAVAR modelpt_PT
dc.subjectBayesian estimationpt_PT
dc.subjectSign restrictionspt_PT
dc.subjectScenario analysispt_PT
dc.subjectSovereign stresspt_PT
dc.subjectDemand shockpt_PT
dc.subjectCredit shockpt_PT
dc.subjectFiscal consolidationpt_PT
dc.titleWeakness of investment in Portugal : what role do credit supply and fiscal consolidation shocks play?pt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.conferencePlaceLisboapt_PT
oaire.citation.endPage45pt_PT
oaire.citation.issue1pt_PT
oaire.citation.startPage19pt_PT
oaire.citation.titlePortuguese Economic Journalpt_PT
oaire.citation.volume18pt_PT
rcaap.rightsclosedAccesspt_PT
rcaap.typearticlept_PT

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Portuguese Economic Journal, 2019, Volume 18, Nº 1