The ‘great Moderation’ in OECD countries: Its deepness and implications with business cycles

This 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

Introdução ao estudo sobre as saídas profissionais dos licenciados da UCEE

Passados quatro e dez anos sobre a entrada no mercado de trabalho dos primeiros licenciados, respectivamente, em Economia e em Gestão de Empresas, pela Unidade de Ciências Económicas e Empresariais, a ALUCEE considerou chegado o momento de, em género de balanço, se proceder à realização do primeiro estudo sobre as saídas profissionais desses jovens. Porque a ALUCEE e a UCEE têm como objectivos, entre outros, o alcance de uma elevada qualidade na formação ministrada e a ligação com o meio envolvente, este estudo teve sempre a sua importância reconhecida pela natureza das informações que pode facultar, constituindo acima de tudo um instrumento de “feedback” a ter em conta na reformulação dos objectivos e dos “curricula” das licenciaturas. Como forma de alcançar os objectivos acima enunciados e de corresponder às expectativas e preocupações dos futuros licenciados e seus empregadores, o presente trabalho tem dois grandes objectivos. Primeiro, o conhecimento detalhado, quer do percurso profissional efectuado pelos jovens licenciados, quer das dificuldades sentidas no processo de transição para o mercado de trabalho. Segundo, a recolha de opiniões sobre a qualidade do ensino ministrado e sobre a importância da licenciatura para o desempenho das funções profissionais

Public investment in transportation infrastructures and economic performance in Portugal

This paper uses a VAR approach to investigate the effects of aggregate and disaggregate measures of public investment in transportation infrastructures on private investment, employment, and output in Portugal. Estimation results suggest that public investment in transportation infrastructures crowds in private investment and employment and, therefore, has a strong positive effect on output. Indeed, we estimate that one euro invested in public investment increases output in the long-term by 9.5 euros. This figure suggests that public investment pays for itself 3.3 times in the form of tax revenues over the life span of the public capital asset. Furthermore, this figure corresponds to a rate of return of 15.9%, which is clearly higher than the rate of return expected on private investment activities. A close look at the effects of different types of public investment is very informative, since it shows which types of public investments are the most productive. In terms of marginal productivities, the highest effects on private investment come from public investment in ports, airports and national roads. In terms of job creation, the highest effects come from public investment in ports, municipal roads, and national roads. Finally, in terms of the effects on output the largest effects come from investment in ports followed by national roads, municipal roads, airports, and railroads. The results in this paper are very important from a public policy perspective. This is because they suggest that public investment in transportation infrastructures has been a powerful instrument to promote long-term growth and that the strategy followed by the Portuguese authorities of investing in public infrastructures isjustified both from a long-term development perspective as well as from a public budgetary perspective

Persistence change in tourism data

The authors apply recently proposed persistence change tests to inbound tourism series in order to evaluate whether their properties have changed over time. By using quarterly series of the number of overnight stays in hotel accommodation and similar establishments in the Algarve, from 1987:01 to 2008:03, they gathered evidence of persistence change in all series. In particular, a change from I(1) to I(0) was detected for some countries, while for others the direction change was not clear-cut. These results have implications from a policy perspective and shed light on the generally accepted conviction that policy decision processes should not ignore the fact that, in general, tourism inbound series display mean reverting behaviour, being only temporarily affected by external shocks

A new approach in the analysis of european countries convergence: Lessons for the economies of central and eastern europe

In this paper, we use the concept of convergence based on the stationarity of cross-country per capita output differences and propose new on the persistence and change of persistence of data, taking into consideration the occurrence of structural changes. We consider data on per capita output of the European Union member states, considering the Western European economies and the Eastern European economies in a total of 23 countries. Our objective is to analyze the convergence process of these economies and, in particular to conclude whether there has been a convergence and/or divergent process between the Western European economies and between those economies and the Eastern European economies over the sample period. By considering different sub-periods, the results suggest that in general the Western European countries have reduced their per capita output gaps, being Ireland the only country reporting divergence until the end of the 80s. Bulgaria, Hungary, Poland and Romania have reported divergence to Western European countries over the period from the 50s to the 90s. Finally, per capita output gaps of other Eastern economies have been reduced since the 1990s, in particular the cases of Latvia and Lithuania

On the relationship between soveregn bonds and credit default swaps in Portugal

This 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

Inflation persistence in OECD and non-OECD economies

Inflation is an important macroeconomic variable that affects the options of economic agents as well as their future expectations and it is often regarded as a result of domestic policies combined with the effects of globalization and therefore, a sign of how governments have been well succeeded in their political options. This issue is reflected in the mandate of many monetary authorities to maintain price stability and, therefore, no wonder it plays a critical role in policies’ design as its effects spread out in the economy as a whole either in terms of economic efficiency and equity, two of the most important concerns of any government’s policy. This explains the attention political authorities and economic agents in general have given to the evolution of inflation and the fact that its control has been stated as a priority for governments all over the world. These issues have became increasing relevant as the international monetary context has experienced important changes such as the adoption of inflation targeting regimes by some countries, the arrival of monetary union in Europe, and a general deflationist process in industrial economies

The European tourism regions: location and economic significance

Tourism 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

Determinantes do crescimento económico em Portugal: Uma abordagem sectorial para a região do Algarve

Este trabalho procura identificar os sectores de actividade que estiveram na base do crescimento económico da região do Algarve, a região sul de Portugal continental, bem como os estímulos de crescimento que conseguiram transmitir aos sectores endógenos da região no período entre 1995 e 2003. Com a adopção do modelo de Base Económica, aos níveis inter-regional e intra-regional, os resultados sugerem que foram os ramos directamente e indirectamente ligados ao turismo, como o Alojamento e Restauração, a pesca, o Comércio e a Construção que constituíram o motor de crescimento da região. Contudo se registou uma redução do grau de indução destes ramos sobre as actividades não básicas da região. A análise demonstra que a economia regional é bastante tercearizada e o emprego básico encontra-se essencialmente nos concelhos com freguesias litorais, entre as cidades de Lagos e Faro, que possuem uma estrutura económica directamente ligada ao turismo através do ramo do Alojamento e da Restauração e indirectamente, através dos ramos do imobiliário e Alugueres e do comércio e outros

A previsão com modelos de espaço de estado: Uma aplicação à economia portuguesa

A previsão com modelos de espaço de estado: modelo estrutural, modelo espaço estados (MEE), previsão com filtro de Kalman