Banco de Portugal

Displaying 1-31 of 31 results

  • White Papers // Feb 2011

    Managers Mobility, Trade Status, And Wages

    This paper investigates whether the arrival of managers with export experience, i.e. experience acquired through participation in the export activity of previous employers, is related to firms' international trade status and to what extent this relationship is of a causal nature. The authors construct a worker-firm matched panel dataset which...

    Provided By Banco de Portugal

  • White Papers // Jan 2011

    Is The World Spinning Faster? Assessing The Dynamics Of Export Specialization

    The paper suggests a methodology to measure the intra-distribution dynamics of export specialization and applies it to a large set of countries in the last four decades. The paper contributes to the literature on the dynamics of international trade specialization, making use of the information contained in the distribution of...

    Provided By Banco de Portugal

  • White Papers // Dec 2010

    Testing For Persistence Change In Fractionally Integrated Models: An Application To World Inflation Rates

    In this paper the authors propose an approach to detect persistence changes in fractionally integrated models based on recursive forward and backward estimation of the Breitung and Hassler (2002) test. This procedure generalises to fractionally integrated processes the approaches of Leybourne, Kim, Smith and Newbold (2003) and Leybourne and Taylor...

    Provided By Banco de Portugal

  • White Papers // Nov 2010

    Forecasting Inflation (And The Business Cycle?) With Monetary Aggregates

    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 relation, i.e., the projection of inflation onto monetary aggregates must be restricted to the low frequencies. Using the same tools, they show that money growth has...

    Provided By Banco de Portugal

  • White Papers // Oct 2010

    Time-Varying Fiscal Policy In The U.S.

    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 through Bayesian simulation over the 1965:2–2009:2 period. The evidence suggests that fiscal policy has lost some capacity to stimulate output but that this...

    Provided By Banco de Portugal

  • White Papers // Oct 2010

    Labor Immobility And The Transmission Mechanism Of Monetary Policy In A Monetary Union

    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 is such that a common shock creates a missing role for labor mobility across countries, the terms of trade of...

    Provided By Banco de Portugal

  • White Papers // Oct 2010

    Taxation And Globalization

    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 efficiency. Given the empirical evidence on the roots of heterogeneity inside each country, either in developing or developed economies, the elimination of capital...

    Provided By Banco de Portugal

  • White Papers // Sep 2010

    On The Uncertainty And Risks Of Macroeconomic Forecasts

    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 models complicates the problem of characterizing the predictive density. This paper proposes a parametric approach to construct the joint and marginal densities of macroeconomic...

    Provided By Banco de Portugal

  • White Papers // Aug 2010

    Marginal Distributions Of Random Vectors Generated By Affine Transformations Of Independent Two-Piece Normal Variables

    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 contributions was initiated by Azzalini and Dalla Valle (1996) and Azzalini and Capitanio (1999) and generalizes the univariate skew-normal distribution studied by...

    Provided By Banco de Portugal

  • White Papers // Jul 2010

    Time Varying Fiscal Policy In The U.S

    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 through Bayesian simulation over the 1965:2-2009:2 period. Their evidence suggests that fiscal policy has lost some capacity to stimulate output but that this trend...

    Provided By Banco de Portugal

  • White Papers // Jul 2010

    Financial Stability And Policy Cooperation

    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 into account the evidence provided during the crisis of pervasive spillover effects and cross-country interdependence. The paper applies game-theoretic models as...

    Provided By Banco de Portugal

  • White Papers // Jul 2010

    Short And Long Interest Rate Targets

    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 rates are used as the instrument of policy. A peg of the nominal returns on assets of different maturities is...

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    The Effects Of Additive Outliers And Measurement Errors When Testing For Structural Breaks In Variance

    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 outliers or measurement errors. This analysis is particularly relevant for financial data, on which these tests are commonly used to detect variance breaks. In...

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    Tracking The US Business Cycle With A Singular Spectrum Analysis

    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 financial intermediaries, firms and households. However, the assessment of the business cycle is not an easy endeavor as the cyclical component is...

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    Extremal Dependence In International Output Growth: Tales From The Tails

    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 explaining tail events (say, an economic recession) than central ones, the need to rely on statistical methods well qualified for...

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    A Wavelet Approach For Factor-Augmented Forecasting

    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 time-scale components and a model can be fitted to each component to improve the forecast accuracy of the series as a whole....

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    The EAGLE. A Model For Policy Analysis Of Macroeconomic Interdependence In The Euro Area

    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 (fiscal and structural) policies are mainly conducted at the country level. Understanding the transmission mechanism of region-specific or common shocks across...

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    Monetary Policy Effects: Evidence From The Portuguese Flow Of Funds

    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 (financial/non-financial), the government and the rest of the world. The author confirms that, in many ways, households and firms react in a similar way...

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    Calendar Effects In Daily ATM Withdrawals

    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 2008. The results presented may allow for a better understanding of consumer habits and for adjusting the original series for...

    Provided By Banco de Portugal

  • White Papers // May 2010

    Counterfactual Analysis Of Bank Mergers

    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 the effects arising from changes in banks' operating environment. However, most of the literature on the impact of bank...

    Provided By Banco de Portugal

  • White Papers // May 2010

    Expectations-Driven Cycles In The Housing Market

    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 that originate in the housing market, the credit market and the conduct of monetary policy. It's found that, in the presence...

    Provided By Banco de Portugal

  • White Papers // Mar 2010

    Nonstationary Extremes And The US Business Cycle

    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 stationary data. For non-stationary series a variant of the peaks over threshold analysis is routinely applied using covariates as a means to overcome...

    Provided By Banco de Portugal

  • White Papers // Feb 2010

    Exports, Imports And Wages: Evidence From Matched Firm-Worker-Product Panels

    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 this paper that firm-level imports can actually be a wage determinant as important as exports. Furthermore,...

    Provided By Banco de Portugal

  • White Papers // Jan 2010

    Measuring Comovement In The Time-Frequency Space

    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 correlation coefficient while the evolving properties are investigated either through a rolling window or by considering non-overlapping periods. More recently, Croux, Forni and...

    Provided By Banco de Portugal

  • White Papers // Dec 2009

    Evidence From Surveys Of Price-Setting Managers: Policy Lessons And Directions For Ongoing Research

    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 behavioral mechanisms play a fundamental role in influencing the characteristics of aggregate inflation and in determining how monetary policy affects inflation and real economic activity....

    Provided By Banco de Portugal

  • White Papers // Nov 2009

    Back To Basics: Data Revisions

    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 revisions may alter current assessment and forecasts of economic developments. In this paper, the author reassesses data revisions analysis and its impact on...

    Provided By Banco de Portugal

  • White Papers // Nov 2009

    Are ATM/POS Data Relevant When Nowcasting Private Consumption?

    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 assessment. Therefore, forecasters are always in search of new indicators that are related with the macroeconomic variable of interest and available...

    Provided By Banco de Portugal

  • White Papers // Nov 2009

    The Cross Sectional Dynamics Of Heterogenous Trade Models

    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 of their size, the size distribution of potential entrants, properties of firm's idiosyncratic shocks, and trade barriers. The model has...

    Provided By Banco de Portugal

  • White Papers // Nov 2009

    Double Coverage And Health Care Utilisation: Evidence From Quantile Regression

    An individual experiences double coverage when he benefits from more than one health insurance plan at the same time. This paper examines the impact of such supplementary insurance on the utilization of health care. Its novelty is that within the context of count data modeling and without imposing restrictive parametric...

    Provided By Banco de Portugal

  • White Papers // Oct 2009

    Adding Value To Bank Branch Performance Evaluation Using Cognitive Maps And MCDA: A Case Study

    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 evaluation, and the multiple and conflicting interests of the different stakeholders involved. In this paper the author aims...

    Provided By Banco de Portugal

  • White Papers // Oct 2009

    An Assessment Of Portuguese Bank's Costs And Efficiency

    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 other earning assets, choosing the cost minimizing combination of labor, capital and interest bearing debt, subject to holding a predetermined...

    Provided By Banco de Portugal

  • White Papers // Oct 2010

    Taxation And Globalization

    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 efficiency. Given the empirical evidence on the roots of heterogeneity inside each country, either in developing or developed economies, the elimination of capital...

    Provided By Banco de Portugal

  • White Papers // Feb 2011

    Managers Mobility, Trade Status, And Wages

    This paper investigates whether the arrival of managers with export experience, i.e. experience acquired through participation in the export activity of previous employers, is related to firms' international trade status and to what extent this relationship is of a causal nature. The authors construct a worker-firm matched panel dataset which...

    Provided By Banco de Portugal

  • White Papers // Jan 2011

    Is The World Spinning Faster? Assessing The Dynamics Of Export Specialization

    The paper suggests a methodology to measure the intra-distribution dynamics of export specialization and applies it to a large set of countries in the last four decades. The paper contributes to the literature on the dynamics of international trade specialization, making use of the information contained in the distribution of...

    Provided By Banco de Portugal

  • White Papers // Nov 2010

    Forecasting Inflation (And The Business Cycle?) With Monetary Aggregates

    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 relation, i.e., the projection of inflation onto monetary aggregates must be restricted to the low frequencies. Using the same tools, they show that money growth has...

    Provided By Banco de Portugal

  • White Papers // Oct 2010

    Time-Varying Fiscal Policy In The U.S.

    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 through Bayesian simulation over the 1965:2–2009:2 period. The evidence suggests that fiscal policy has lost some capacity to stimulate output but that this...

    Provided By Banco de Portugal

  • White Papers // Dec 2010

    Testing For Persistence Change In Fractionally Integrated Models: An Application To World Inflation Rates

    In this paper the authors propose an approach to detect persistence changes in fractionally integrated models based on recursive forward and backward estimation of the Breitung and Hassler (2002) test. This procedure generalises to fractionally integrated processes the approaches of Leybourne, Kim, Smith and Newbold (2003) and Leybourne and Taylor...

    Provided By Banco de Portugal

  • White Papers // Oct 2010

    Labor Immobility And The Transmission Mechanism Of Monetary Policy In A Monetary Union

    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 is such that a common shock creates a missing role for labor mobility across countries, the terms of trade of...

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    The Effects Of Additive Outliers And Measurement Errors When Testing For Structural Breaks In Variance

    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 outliers or measurement errors. This analysis is particularly relevant for financial data, on which these tests are commonly used to detect variance breaks. In...

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    Tracking The US Business Cycle With A Singular Spectrum Analysis

    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 financial intermediaries, firms and households. However, the assessment of the business cycle is not an easy endeavor as the cyclical component is...

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    Extremal Dependence In International Output Growth: Tales From The Tails

    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 explaining tail events (say, an economic recession) than central ones, the need to rely on statistical methods well qualified for...

    Provided By Banco de Portugal

  • White Papers // Oct 2009

    Adding Value To Bank Branch Performance Evaluation Using Cognitive Maps And MCDA: A Case Study

    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 evaluation, and the multiple and conflicting interests of the different stakeholders involved. In this paper the author aims...

    Provided By Banco de Portugal

  • White Papers // Oct 2009

    An Assessment Of Portuguese Bank's Costs And Efficiency

    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 other earning assets, choosing the cost minimizing combination of labor, capital and interest bearing debt, subject to holding a predetermined...

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    A Wavelet Approach For Factor-Augmented Forecasting

    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 time-scale components and a model can be fitted to each component to improve the forecast accuracy of the series as a whole....

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    The EAGLE. A Model For Policy Analysis Of Macroeconomic Interdependence In The Euro Area

    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 (fiscal and structural) policies are mainly conducted at the country level. Understanding the transmission mechanism of region-specific or common shocks across...

    Provided By Banco de Portugal

  • White Papers // May 2010

    Counterfactual Analysis Of Bank Mergers

    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 the effects arising from changes in banks' operating environment. However, most of the literature on the impact of bank...

    Provided By Banco de Portugal

  • White Papers // May 2010

    Expectations-Driven Cycles In The Housing Market

    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 that originate in the housing market, the credit market and the conduct of monetary policy. It's found that, in the presence...

    Provided By Banco de Portugal

  • White Papers // Mar 2010

    Nonstationary Extremes And The US Business Cycle

    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 stationary data. For non-stationary series a variant of the peaks over threshold analysis is routinely applied using covariates as a means to overcome...

    Provided By Banco de Portugal

  • White Papers // Feb 2010

    Exports, Imports And Wages: Evidence From Matched Firm-Worker-Product Panels

    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 this paper that firm-level imports can actually be a wage determinant as important as exports. Furthermore,...

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    Monetary Policy Effects: Evidence From The Portuguese Flow Of Funds

    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 (financial/non-financial), the government and the rest of the world. The author confirms that, in many ways, households and firms react in a similar way...

    Provided By Banco de Portugal

  • White Papers // Aug 2010

    Marginal Distributions Of Random Vectors Generated By Affine Transformations Of Independent Two-Piece Normal Variables

    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 contributions was initiated by Azzalini and Dalla Valle (1996) and Azzalini and Capitanio (1999) and generalizes the univariate skew-normal distribution studied by...

    Provided By Banco de Portugal

  • White Papers // Jun 2010

    Calendar Effects In Daily ATM Withdrawals

    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 2008. The results presented may allow for a better understanding of consumer habits and for adjusting the original series for...

    Provided By Banco de Portugal

  • White Papers // Jan 2010

    Measuring Comovement In The Time-Frequency Space

    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 correlation coefficient while the evolving properties are investigated either through a rolling window or by considering non-overlapping periods. More recently, Croux, Forni and...

    Provided By Banco de Portugal

  • White Papers // Jul 2010

    Financial Stability And Policy Cooperation

    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 into account the evidence provided during the crisis of pervasive spillover effects and cross-country interdependence. The paper applies game-theoretic models as...

    Provided By Banco de Portugal

  • White Papers // Dec 2009

    Evidence From Surveys Of Price-Setting Managers: Policy Lessons And Directions For Ongoing Research

    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 behavioral mechanisms play a fundamental role in influencing the characteristics of aggregate inflation and in determining how monetary policy affects inflation and real economic activity....

    Provided By Banco de Portugal

  • White Papers // Nov 2009

    Back To Basics: Data Revisions

    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 revisions may alter current assessment and forecasts of economic developments. In this paper, the author reassesses data revisions analysis and its impact on...

    Provided By Banco de Portugal

  • White Papers // Nov 2009

    Are ATM/POS Data Relevant When Nowcasting Private Consumption?

    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 assessment. Therefore, forecasters are always in search of new indicators that are related with the macroeconomic variable of interest and available...

    Provided By Banco de Portugal

  • White Papers // Nov 2009

    The Cross Sectional Dynamics Of Heterogenous Trade Models

    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 of their size, the size distribution of potential entrants, properties of firm's idiosyncratic shocks, and trade barriers. The model has...

    Provided By Banco de Portugal

  • White Papers // Jul 2010

    Short And Long Interest Rate Targets

    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 rates are used as the instrument of policy. A peg of the nominal returns on assets of different maturities is...

    Provided By Banco de Portugal

  • White Papers // Nov 2009

    Double Coverage And Health Care Utilisation: Evidence From Quantile Regression

    An individual experiences double coverage when he benefits from more than one health insurance plan at the same time. This paper examines the impact of such supplementary insurance on the utilization of health care. Its novelty is that within the context of count data modeling and without imposing restrictive parametric...

    Provided By Banco de Portugal

  • White Papers // Sep 2010

    On The Uncertainty And Risks Of Macroeconomic Forecasts

    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 models complicates the problem of characterizing the predictive density. This paper proposes a parametric approach to construct the joint and marginal densities of macroeconomic...

    Provided By Banco de Portugal

  • White Papers // Jul 2010

    Time Varying Fiscal Policy In The U.S

    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 through Bayesian simulation over the 1965:2-2009:2 period. Their evidence suggests that fiscal policy has lost some capacity to stimulate output but that this trend...

    Provided By Banco de Portugal