Title:

Different measures of volatility: the hypothesis of output composition in Portugal

Group publication title:

Argumenta Oeconomica

Creator:

Fuinhas, José Alberto ; Marques, António Cardoso

Subject and Keywords:

macroeconomic volatility ; output composition effect ; correlation effect ; Unia Gospodarcza i Walutowa ; produkt krajowy brutto ; PKB ; zmienność ; strefa euro ; korelacja

Description:

Argumenta Oeconomica, 2011, Nr 2 (27), s. 37-64

Abstrakt:

This paper focuses on analyzing the impact of the consequences of monetary union on GDP volatility in Portugal. Using quarterly data from 1978:01 to 2009:04, we test the output composition effect and the correlation effect through three alternative approaches of volatility: year on year, quarter on quarter and the value of output gap. Results support the presence of the composition effect. Overall, the average covariance has played a relevant role in lowering volatility. Evidence also indicates that there is a regime shift near the years 1992-3, while both European Union membership and participation in the euro area contribute towards smoothing the economy. The decreasing path of volatility was slightly reversed after the country became a euro area member

Publisher:

Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu

Place of publication:

Wrocław

Date:

2011

Resource Type:

artykuł

Format:

application/pdf

Language:

eng

Relation:

Argumenta Oeconomica, 2011, Nr 2 (27)

Rights:

Wszystkie prawa zastrzeżone (Copyright)

Access Rights:

Dla wszystkich w zakresie dozwolonego użytku

Location:

Uniwersytet Ekonomiczny we Wrocławiu