Factos estilizados do ciclo de negócios na União Europeia 28
: uma análise comparada da República Checa, Alemanha, Itália, Holanda, Portugal e Reino Unido

  • José Alberto Martins Paredes (Student)

Student thesis: Master's Thesis

Abstract

The purpose of this work is to identify the main differences and similarities between the Stylized Facts of the Business Cycle of the economies of 6 European Member States - Czech Republic, Germany, Italy, Netherlands, Portugal and United Kingdom - in the period 1995-2015. The vision of the business cycle adopted is neoclassical and New Keynesian: the business cycle is seen as short-run fluctuations of the economy around its long-run growth trend; these fluctuations are mainly caused by demand side shocks and price rigidities and/or market failures are seen as the propagation mechanism of the business cycle. The methodology of this work comprises a literature review and an empirical study. In the literature review, the main macroeconomic schools of thought, from a neoclassical perspective, and their view of the business cycle, the stylized facts of business cycles and some of the most known filters used for the extraction of the cyclical component of variables, are described, and the use of the HP filter is justified. The empirical study focus is on the correlations between the cyclical components of each variable and the cyclical component of contemporaneous, leading or lagging real GDP. Results show that the main components of GDP, the balance of trade, the employment, the unemployment, the labor productivity, the salaries (nominal and real), the stock market and the monetary aggregates (mainly M1) exhibit a very similar behavior in all the economies, and very consistent with the existent literature. However, the other variables, which are, the current account balance, the gross savings, the credit, the short-term interest rates and the government account balances have a very dissonant behavior across the economies, not very much consistent with the literature. Furthermore, is possible to notice, that the short-term nominal interest rates have a completely different behavior in the Euro Zone´s Member States that were more affected by the crisis and the ones that were not so affected. Results raise questions on the adequacy of the monetary policy, defined for the Euro Zone by the European Central Bank, for the several Member States and / or on the need to have fiscal policy stabilizing the cycle alongside the monetary policy.
Date of Award12 Jul 2017
Original languagePortuguese
Awarding Institution
  • Universidade Católica Portuguesa
SupervisorFrancisca Guedes de Oliveira (Supervisor) & Leonardo Costa (Co-Supervisor)

Keywords

  • Business cycle
  • Neoclassical New Keynesian school
  • Stylized facts of the business cycle
  • HP filter
  • Cycle stabilization policies
  • European Union

Designation

  • Mestrado em Economia Empresarial

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