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Banco de Portugal
(72 results)-
White Papers
Short And Long Interest Rate Targets
July 1, 2010, 12:00am PDT
The author shows that short and long nominal interest rates are independent monetary policy instruments. The pegging of both helps solving the problem of multiplicity that arises when only short...
Provided by Banco de Portugal
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White Papers
Monetary Policy Effects: Evidence From The Portuguese Flow Of Funds
June 1, 2010, 12:00am PDT
This paper uses a VAR approach to study the transmission of monetary policy shocks in Portugal, focusing in particular on the financial decisions of households, corporations...
Provided by Banco de Portugal
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White Papers
Marginal Distributions Of Random Vectors Generated By Affine Transformations Of Independent Two-Piece Normal Variables
August 1, 2010, 12:00am PDT
In the literature on probability distributions there are several approaches for extending the multivariate normal distribution with the introduction of some sort of skewness. The largest group of...
Provided by Banco de Portugal
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White Papers
Calendar Effects In Daily ATM Withdrawals
June 1, 2010, 12:00am PDT
This paper analyses the calendar effects present in Automated Teller Machines (ATM) withdrawals of residents, using daily data for Portugal for the period from January 1st 2001 to December 31st...
Provided by Banco de Portugal
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White Papers
The Effects Of Additive Outliers And Measurement Errors When Testing For Structural Breaks In Variance
June 1, 2010, 12:00am PDT
This paper discusses the asymptotic and finite-sample properties of CUSUM-based tests for detecting structural breaks in volatility in the presence of stochastic contamination, such as additive...
Provided by Banco de Portugal
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White Papers
Tracking The US Business Cycle With A Singular Spectrum Analysis
June 1, 2010, 12:00am PDT
The monitoring of economic developments is an exercise of considerable importance for policymakers, namely, central banks and fiscal authorities as well as for other economic agents such as...
Provided by Banco de Portugal
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White Papers
Extremal Dependence In International Output Growth: Tales From The Tails
June 1, 2010, 12:00am PDT
The statistical modeling of extreme values has recently received substantial attention in a broad spectrum of sciences. Given that in a wide variety of scenarios, one is mostly concerned with...
Provided by Banco de Portugal
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White Papers
A Wavelet Approach For Factor-Augmented Forecasting
June 1, 2010, 12:00am PDT
It has been acknowledged that wavelets can constitute a useful tool for forecasting in economics. Through a wavelet multiresolution analysis, a time series can be decomposed into different...
Provided by Banco de Portugal
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White Papers
The EAGLE. A Model For Policy Analysis Of Macroeconomic Interdependence In The Euro Area
June 1, 2010, 12:00am PDT
International macroeconomic interdependence is a relevant topic in a monetary union such as the euro area, where the monetary policy is set accordingly to euro area-wide performance, while other...
Provided by Banco de Portugal
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White Papers
Counterfactual Analysis Of Bank Mergers
May 1, 2010, 12:00am PDT
Estimating the impact of bank mergers on credit granted and on interest rates requires a framework that allows to disentangle the effect of changes in market structure generated by mergers from...
Provided by Banco de Portugal
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White Papers
Expectations-Driven Cycles In The Housing Market
May 1, 2010, 12:00am PDT
This paper analyzes housing market boom-bust cycles driven by changes in households' expectations. The author explores the role of expectations not only on productivity but on several other shocks...
Provided by Banco de Portugal
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White Papers
Nonstationary Extremes And The US Business Cycle
March 1, 2010, 12:00am PST
Considerable attention has been devoted to the statistical analysis of extreme events. Classical peaks over threshold methods are a popular modeling strategy for extreme value statistics of...
Provided by Banco de Portugal
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White Papers
Exports, Imports And Wages: Evidence From Matched Firm-Worker-Product Panels
February 1, 2010, 12:00am PST
The analysis of the effects of firm-level international trade on wages has so far focused on the role of exports, which are also typically treated as a composite good. However, the author shows in...
Provided by Banco de Portugal
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White Papers
Measuring Comovement In The Time-Frequency Space
January 1, 2010, 12:00am PST
The measurement of co-movement among variables has a long tradition in the economic and financial literature. Traditionally, co-movement is assessed in the time domain through the well-known...
Provided by Banco de Portugal
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White Papers
Financial Stability And Policy Cooperation
July 1, 2010, 12:00am PDT
Within the context of the Global Crisis, this paper examines the ongoing policy challenges in establishing a European framework for financial regulation and supervision. The author does so taking...
Provided by Banco de Portugal
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White Papers
Evidence From Surveys Of Price-Setting Managers: Policy Lessons And Directions For Ongoing Research
December 1, 2009, 12:00am PST
Understanding the determinants of individual price setting behavior is crucial for the formulation of monetary policy, especially in an economy experiencing ongoing structural change. These...
Provided by Banco de Portugal
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White Papers
Back To Basics: Data Revisions
November 1, 2009, 12:00am PDT
With few exceptions, most economic data undergo revisions. Although frequently neglected, data revisions may have implications, not only for economic analysis, but also for policy decisions, as...
Provided by Banco de Portugal
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White Papers
Are ATM/POS Data Relevant When Nowcasting Private Consumption?
November 1, 2009, 12:00am PDT
Policymakers need timely and reliable information on the current state of the economy as macroeconomic forecasts and policy decisions are strongly affected by the quality and completeness of this...
Provided by Banco de Portugal
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White Papers
The Cross Sectional Dynamics Of Heterogenous Trade Models
November 1, 2009, 12:00am PDT
In this paper the author proposes a framework for studying export dynamics and market specific flows in a multi-country model of trade with heterogeneous firms. Countries are asymmetric in terms...
Provided by Banco de Portugal
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White Papers
Adding Value To Bank Branch Performance Evaluation Using Cognitive Maps And MCDA: A Case Study
October 1, 2009, 12:00am PDT
The performance evaluation of bank branches is a difficult task. One of the main reasons for this difficulty is the complexity inherent in the variety of aspects to be considered in the...
Provided by Banco de Portugal
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White Papers
An Assessment Of Portuguese Bank's Costs And Efficiency
October 1, 2009, 12:00am PDT
This paper analyses the production technology of Portuguese banks during the 1992-2004 period through the estimation of a translog cost frontier. Banks are modeled as firms which produce loans and...
Provided by Banco de Portugal
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White Papers
A New Measure Of Fiscal Shocks Based On Budget Forecasts And Its Implications
September 1, 2009, 12:00am PDT
This paper develops a new measure of US fiscal policy shocks that intends to avoid the anticipation problem affecting conventional measures, being also arguably free from endogeneity. The shocks...
Provided by Banco de Portugal
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White Papers
Monetary Policy And The Financing Of Firms
August 1, 2009, 12:00am PDT
During financial crises, credit conditions tend to worsen for all agents in the economy. In the press, there are frequent calls for a looser monetary policy stance, on the grounds that this helps...
Provided by Banco de Portugal
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White Papers
Money Is An Experience Good: Competition And Trust In The Private Provision Of Money
August 1, 2009, 12:00am PDT
The author studies the interplay between competition and trust as efficiency-enhancing mechanisms in the private provision of money. With commitment, trust is automatically achieved and...
Provided by Banco de Portugal
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White Papers
The Dynamic Effects Of Shocks To Wages And Prices In The United States And The Euro Area
July 1, 2009, 12:00am PDT
This paper investigates the dynamics of aggregate wages and prices in the United States (US) and the Euro Area (EA) with a special focus on persistence of real wages, wage and price inflation. The...
Provided by Banco de Portugal
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White Papers
Dynamic Factor Models With Jagged Edge Panel Data: Taking On Board The Dynamics Of The Idiosyncratic Components
July 1, 2009, 12:00am PDT
The estimation of dynamic factor models for large cross-sections poses a challenge in a real time environment. As macroeconomic data become available with different delays, unbalanced panel data...
Provided by Banco de Portugal
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White Papers
Real Wages And The Business Cycle: Accounting For Worker And Firm Heterogeneity
July 1, 2009, 12:00am PDT
Using a longitudinal matched employer-employee data set for Portugal over the 1986-2005 period, this paper analyzes the heterogeneity in wages responses to aggregate labor market conditions for...
Provided by Banco de Portugal
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White Papers
Credit Risk And Capital Requirements For The Portuguese Banking System
May 1, 2009, 12:00am PDT
In this paper, an assessment of the impact of Basel II capital requirement rules driven by credit risk of non-financial firms is performed. Intervals of variation for the risk drivers are...
Provided by Banco de Portugal
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White Papers
Elusive Counter-Cyclicality And Deliberate Opportunism? Fiscal Policy From Plans To Final Outcomes
April 1, 2009, 12:00am PDT
Drawing on the European Commission's Autumn forecasts, the author estimate fiscal reaction functions with four different information sets, ranging from budget plans to final outcomes. The author...
Provided by Banco de Portugal
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White Papers
The Interest Rate Pass-Through Of The Portuguese Banking System: Characterization And Determinants
April 2, 2009, 12:00am PDT
Using micro level data, this work characterizes the interest rate pass-through in loan and deposit retail rates of the Portuguese banking system. It concludes that the long-run impact of a change...
Provided by Banco de Portugal
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White Papers
International Comovement Of Stock Market Returns: A Wavelet Analysis
March 1, 2009, 12:00am PST
The assessment of the comovement among international stock markets is of key interest, for example, for the international portfolio diversification literature. In this paper, the author...
Provided by Banco de Portugal
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White Papers
The Monetary Transmission Mechanism For A Small Open Economy In A Monetary Union
February 1, 2009, 12:00am PST
This paper develops a stylized model of a small open economy integrated in a monetary union. Since the small country trades with countries inside and outside of the monetary union there are three...
Provided by Banco de Portugal
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White Papers
Finite Sample Performance Of Frequency And Time Domain Tests For Seasonal Fractional Integration
January 1, 2009, 12:00am PST
Seasonal movements are considered to be an important component of many time-series in econometric modeling and forecasting exercises. For most economic and financial variables, seasonal patterns...
Provided by Banco de Portugal
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White Papers
Inflation Expectations In The Euro Area: Are Consumers Rational?
December 1, 2008, 12:00am PST
In this paper, the author proposes a quantitative measure for inflation expectations based on consumer survey data. Thereafter, the author proceeds to testing the rationality assumption. This...
Provided by Banco de Portugal
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White Papers
Analysis Of The Predictors Of Default For Portuguese Firms
December 1, 2008, 12:00am PST
The concept of credit risk plays a central role in the development of the financial system and credit risk assessment is indispensable for its stability. A notable step in the attempts to...
Provided by Banco de Portugal
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White Papers
On The Uncertainty And Risks Of Macroeconomic Forecasts
September 1, 2010, 12:00am PDT
Institutions which publish macroeconomic forecasts usually do not rely on a single econometric model to generate their forecasts. The combination of judgments with information from different...
Provided by Banco de Portugal
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White Papers
A Theory Of Entry And Exit Into Exports Markets
December 3, 2008, 12:00am PST
This paper introduces persistent productivity shocks in a continuous-time mononopolistic competition model of trade with hetererogenous firms similar to Melitz (2003). In the model, the presence...
Provided by Banco de Portugal
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White Papers
Approximating And Forecasting Macroeconomic Signals In Real-Time
November 24, 2008, 12:00am PST
The author optimally incorporates factors estimated from a large panel of macroeconomic time series in the estimation of two relevant signals related to real activity: business cycle fluctuations...
Provided by Banco de Portugal
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White Papers
Forecasting Investment: A Fishing Contest Using Survey Data
October 24, 2008, 12:00am PDT
This paper assesses the usefulness of business surveys as a source of information for investment developments in Portugal. This will be achieved by what will be named a "Fishing contest", where...
Provided by Banco de Portugal
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White Papers
Product And Destination Mix In Export Markets
October 1, 2008, 12:00am PDT
Expansion into foreign markets is a major decision for a firm and it involves choices about which countries to approach and which products to export. The author uses a new database that covers the...
Provided by Banco de Portugal
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White Papers
Time Varying Fiscal Policy In The U.S
July 30, 2010, 12:00am PDT
To investigate the time heterogeneity effects of fiscal policy in the U.S., the authors use a non-recursive, Blanchard and Perotti-like structural VAR with time-varying parameters, estimated...
Provided by Banco de Portugal
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White Papers
Unique Monetary Equilibria With Interest Rate Rules
September 1, 2007, 12:00am PDT
Central banks in developed economies have been very successful in targeting low inflation in the last twenty years. The success is commonly attributed to central banks following some form of a...
Provided by Banco de Portugal
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White Papers
Labor Immobility And The Transmission Mechanism Of Monetary Policy In A Monetary Union
October 7, 2010, 12:00am PDT
It is believed that a shock, common to a set of countries with identical fundamentals, has identical outcomes across countries. The authors show that in general, when specialization in production...
Provided by Banco de Portugal
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White Papers
Time-Varying Fiscal Policy In The U.S.
October 15, 2010, 12:00am PDT
To investigate time heterogeneity in the effects of fiscal policy in the U.S., the authors use a non-recursive, Blanchard and Perotti-like structural VAR with time-varying parameters, estimated...
Provided by Banco de Portugal
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White Papers
Forecasting Inflation (And The Business Cycle?) With Monetary Aggregates
November 4, 2010, 12:00am PDT
The authors show how monetary aggregates can be usefully incorporated in forecasts of inflation. This requires fully disregarding the high-frequency fluctuations blurring the money/inflation...
Provided by Banco de Portugal
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White Papers
Taxation And Globalization
October 1, 2010, 12:00am PDT
The decline of capital taxation is associated with efficiency gains. The authors show that, when agents are heterogeneous, equity concerns can change the policy recommendation driven by...
Provided by Banco de Portugal
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White Papers
Nominal Debt As A Burden On Monetary Policy
November 1, 2007, 12:00am PDT
The author characterizes the optimal sequential choice of monetary policy in economies with either nominal or indexed debt. In a model where nominal debt is the only source of time inconsistency,...
Provided by Banco de Portugal
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White Papers
Identifying Unemployment Insurance Income Effects With A Quasi-Natural Experiment
December 3, 2007, 12:00am PST
This paper acknowledges that UI has a non-distortionary income effect generated by easing the liquidity constraints of the unemployed. Using an exogenous increase in the entitlement period as a...
Provided by Banco de Portugal
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White Papers
How Do Different Entitlements To Unemployment Benefits Affect The Transitions From Unemployment Into Employment?
August 1, 2007, 12:00am PDT
In Portugal duration of benefits is exclusively age determined while replacement rates are to all intents and purposes uniform. The author exploits differences in potential maximum duration of...
Provided by Banco de Portugal
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White Papers
Interpretation Of The Effects Of Filtering Integrated Time Series
September 21, 2007, 12:00am PDT
The author resorts to a rigorous definition of spectrum of an integrated time series in order to characterise the implications of applying linear filters to such series. It's concluded that in the...
Provided by Banco de Portugal
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White Papers
Exact Limit Of The Expected Periodogram In The Unit-Root Case
September 21, 2007, 12:00am PDT
Solo (1992) has shown that certain continuous-time stationary increment processes possess many of the frequency domain properties of stationary processes. Crucially, although their variance is...
Provided by Banco de Portugal
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White Papers
International Trade Patterns Over The Last Four Decades: How Does Portugal Compare With Other Cohesion Countries?
September 1, 2007, 12:00am PDT
This paper compares the international trade pattern of Portugal with the other three EU15 Cohesion countries - Spain, Greece and Ireland - over the last forty years. The paper adopts a...
Provided by Banco de Portugal
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White Papers
Inflation (Mis)perceptions In The Euro Area
October 1, 2007, 12:00am PDT
There has been a growing interest on inflation perceptions in the euro area, in particular, following the euro cash changeover. It has been pointed out that a gap emerged between observed and...
Provided by Banco de Portugal
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White Papers
Labor Adjustment Costs In A Panel Of Establishments: A Structural Approach
October 1, 2007, 12:00am PDT
This paper estimates a structural model of the employment decision of the firm. The establishment level data displays an extreme degree of rigidity in that employment levels are largely constant...
Provided by Banco de Portugal
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White Papers
Is Time Ripe For Price Level Path Stability?
October 1, 2007, 12:00am PDT
In this paper, the author provides a critical and selective survey of arguments relevant for the assessment of the case for price level path stability (PLPS). Using a standard hybrid new Keynesian...
Provided by Banco de Portugal
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White Papers
Do Labor Market Policies Affect Employment Composition? Lessons From European Countries
December 1, 2007, 12:00am PST
The paper studies the effects of different labor market policies on employment composition in a matching model with salaried work and self-employment. The author empirically assesses some of the...
Provided by Banco de Portugal
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White Papers
Household Wealth In Portugal: Revised Series
September 1, 2008, 12:00am PDT
Household wealth can play an important role in modeling households' consumption/savings decisions. Permanent income and life-cycle theories of consumer, for instance, predict a relationship...
Provided by Banco de Portugal
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White Papers
The Determinants Of Portuguese Banks? Capital Buffers
January 1, 2008, 12:00am PST
The purpose of the present paper is to shed some light on why Portuguese banks hold significant capital buffers above the required regulatory minimum, through the estimation of a dynamic panel...
Provided by Banco de Portugal
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White Papers
Do Reservation Wages Really Decline? Some International Evidence On The Determinants Of Reservation Wages
February 1, 2008, 12:00am PST
Reservation wages play a key role in search theory, wherein optimal job search implies the reservation wage property and the optimal stopping rule. Despite its key role in theory, however, most...
Provided by Banco de Portugal
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White Papers
Unemployment Benefits And Reservation Wages: Key Elasticities From A Stripped-Down Job Search Approach
February 1, 2008, 12:00am PST
This paper exploits survey information on reservation wages and data on actual wages from the European Community Household Panel to deduce in the manner of Lancaster and Chesher (1983) additional...
Provided by Banco de Portugal
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White Papers
The Effects Of Low-Cost Countries On Portuguese Manufacturing Import Prices
March 1, 2008, 12:00am PST
This paper estimates the direct effect of low-cost countries on Portuguese manufacturing import prices, using detailed data both by product and by geographical market for the period 1997- 2006....
Provided by Banco de Portugal
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White Papers
What Is Behind The Recent Evolution Of Portuguese Terms Of Trade?
March 1, 2008, 12:00am PST
This paper analyses the evolution of Portuguese terms of trade over the last decades. Firstly, their evolution is described: (i) terms of trade registered an upward trend since the second half of...
Provided by Banco de Portugal
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White Papers
Evaluating Job Search Programs For Old And Young Individuals: Heterogeneous Impact On Unemployment Duration
April 4, 2008, 12:00am PDT
This paper exploits an area-based pilot experiment to identify average treatment effects on unemployment duration of treated individuals of two active labor market programs implemented in...
Provided by Banco de Portugal
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White Papers
Forecasting Using Targeted Diffusion Indexes
May 1, 2008, 12:00am PDT
The simplicity of the standard diffusion index model of Stock and Watson has certainly contributed to its success among practitioners resulting in a growing body of literature on factor-augmented...
Provided by Banco de Portugal
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White Papers
Statistical Arbitrage With Default And Collateral
June 1, 2008, 12:00am PDT
It is very well known that default is a real and important fact in the economy. One way to get protection against default is to require collateral, as happens in the Collateralized Mortgages...
Provided by Banco de Portugal
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White Papers
Determining The Number Of Factors In Approximate Factor Models With Global And Group-Specific Factors
June 1, 2008, 12:00am PDT
For an approximate factor model, in a static representation, with a common component comprising global factors and factors specific to groups of variables, the consistency of the principal...
Provided by Banco de Portugal
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White Papers
Vertical Specialization Across The World: A Relative Measure
July 1, 2008, 12:00am PDT
This paper investigates a specific aspect of international production linkages that, following Hummels et al. (2001), is commonly designated as vertical specialization (VS) - the use of imported...
Provided by Banco de Portugal
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White Papers
International Fragmentation Of Production In The Portuguese Economy: What Do Different Measures Tell Us?
July 1, 2008, 12:00am PDT
This paper analyses the relevance and the characteristics of the international fragmentation of production in the Portuguese economy. The empirical trade literature suggests different measures of...
Provided by Banco de Portugal
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White Papers
Impact Of The Recent Reform Of The Portuguese Public Employees? Pension System
September 1, 2008, 12:00am PDT
This paper analyses the effects of the recent reform of the Estatuto da Aposentação, applicable to the contributors of the Caixa Geral de Aposentações (CGA). Using the "2005 Public Administration...
Provided by Banco de Portugal
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White Papers
Empirical Evidence On The Behavior And Stabilizing Role Of Fiscal And Monetary Policies In The US
September 1, 2008, 12:00am PDT
In this paper, standard SVAR tools and counterfactual simulation techniques are applied to study the behavior and countercyclical role of monetary and fiscal policies in the US. In order to set up...
Provided by Banco de Portugal
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White Papers
Wage And Price Dynamics In Portugal
September 8, 2008, 12:00am PDT
This paper investigates the persistence of aggregate wages and prices in Portugal assuming a model of a unionized economy with imperfect competition. An impulse response analysis is conducted...
Provided by Banco de Portugal
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White Papers
Improving Competition In The Non-Tradable Goods And Labour Markets: The Portuguese Case
October 21, 2008, 12:00am PDT
This paper assesses the macroeconomic impacts of increasing competition in the non-tradable goods and labor markets in Portugal. The author leans on evidence that the maintenance of low...
Provided by Banco de Portugal
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White Papers
Product And Destination Mix In Export Markets
October 1, 2008, 12:00am PDT
Expansion into foreign markets is a major decision for a firm and it involves choices about which countries to approach and which products to export. The author uses a new database that covers the...
Provided by Banco de Portugal
-
White Papers
Forecasting Investment: A Fishing Contest Using Survey Data
October 24, 2008, 12:00am PDT
This paper assesses the usefulness of business surveys as a source of information for investment developments in Portugal. This will be achieved by what will be named a "Fishing contest", where...
Provided by Banco de Portugal
-
White Papers
Approximating And Forecasting Macroeconomic Signals In Real-Time
November 24, 2008, 12:00am PST
The author optimally incorporates factors estimated from a large panel of macroeconomic time series in the estimation of two relevant signals related to real activity: business cycle fluctuations...
Provided by Banco de Portugal
-
White Papers
A Theory Of Entry And Exit Into Exports Markets
December 3, 2008, 12:00am PST
This paper introduces persistent productivity shocks in a continuous-time mononopolistic competition model of trade with hetererogenous firms similar to Melitz (2003). In the model, the presence...
Provided by Banco de Portugal
-
White Papers
On The Uncertainty And Risks Of Macroeconomic Forecasts
September 1, 2010, 12:00am PDT
Institutions which publish macroeconomic forecasts usually do not rely on a single econometric model to generate their forecasts. The combination of judgments with information from different...
Provided by Banco de Portugal
-
White Papers
Analysis Of The Predictors Of Default For Portuguese Firms
December 1, 2008, 12:00am PST
The concept of credit risk plays a central role in the development of the financial system and credit risk assessment is indispensable for its stability. A notable step in the attempts to...
Provided by Banco de Portugal
-
White Papers
Inflation Expectations In The Euro Area: Are Consumers Rational?
December 1, 2008, 12:00am PST
In this paper, the author proposes a quantitative measure for inflation expectations based on consumer survey data. Thereafter, the author proceeds to testing the rationality assumption. This...
Provided by Banco de Portugal
-
White Papers
Finite Sample Performance Of Frequency And Time Domain Tests For Seasonal Fractional Integration
January 1, 2009, 12:00am PST
Seasonal movements are considered to be an important component of many time-series in econometric modeling and forecasting exercises. For most economic and financial variables, seasonal patterns...
Provided by Banco de Portugal
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