TY - JOUR
T1 - The changing economic regimes and expected time to recover of the peripheral countries under the euro
T2 - A nonparametric approach
AU - Damásio, Bruno
AU - Louçã, Francisco
AU - Nicolau, João
N1 - Damásio, B., Louçã, F., & Nicolau, J. (2018). The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach. Physica A: Statistical Mechanics and its Applications, 507, 524-533. https://doi.org/10.1016/j.physa.2018.05.089
PY - 2018/10/1
Y1 - 2018/10/1
N2 - A nonparametric method is presented in order to estimate the expected time to cross a threshold on the basis of two assumptions, a Markovian property and stationarity. An empirical application is provided, using this method to investigate the dynamics of the GDP of 16 countries of the European Union for a long period, 1962–2016, and to detect the patterns of growth rates and expected mean reversion time after a negative, i.e a recession, or a positive deviation from the trend. The conclusion supports the hypothesis of an economic regime change in the eurozone, affecting in particular the peripheral countries of southern Europe, ignited by the creation of the common currency.
AB - A nonparametric method is presented in order to estimate the expected time to cross a threshold on the basis of two assumptions, a Markovian property and stationarity. An empirical application is provided, using this method to investigate the dynamics of the GDP of 16 countries of the European Union for a long period, 1962–2016, and to detect the patterns of growth rates and expected mean reversion time after a negative, i.e a recession, or a positive deviation from the trend. The conclusion supports the hypothesis of an economic regime change in the eurozone, affecting in particular the peripheral countries of southern Europe, ignited by the creation of the common currency.
KW - Economic divergence
KW - Economic regime change
KW - Expected hitting times
KW - Markov chain
UR - http://www.scopus.com/inward/record.url?scp=85047431174&partnerID=8YFLogxK
U2 - 10.1016/j.physa.2018.05.089
DO - 10.1016/j.physa.2018.05.089
M3 - Article
AN - SCOPUS:85047431174
VL - 507
SP - 524
EP - 533
JO - Physica A-Statistical Mechanics And Its Applications
JF - Physica A-Statistical Mechanics And Its Applications
SN - 0378-4371
ER -