The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach

Damásio, Bruno; Louçã, Francisco; Nicolau, João

doi:10.1016/j.physa.2018.05.089

Cited by 5 publications

(3 citation statements)

References 7 publications

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“…Markov chain models are increasingly proficiently and interdisciplinary used. To be specific, in Finance (Siu et al 2005;Fung and Siu 2012), Financial Markets (Maskawa 2003;Nicolau 2014;Nicolau and Riedlinger 2015), Biology (Gottschau 1992;Raftery and Tavaré 1994;Berchtold 2001), Environmental Sciences (Turchin 1986;Sahin and Sen 2001), Linguistics (Markov 1913), Medicine (Li et al 2014), Forecasting (Damásio and Nicolau 2013), Management (Ching, Fung, and Ng 2002;Horvath, Autry, and Wilcox 2005;Zhu and Ching 2010), Macroeconomics (Nicolau 2017;Damásio, Louçã, and Nicolau 2018), Economic History (Damásio and Mendonça 2019), among others; see, e.g. (Ching and Ng 2006;Sericola 2013).…”

Section: Multivariate Markov Chain Methodologymentioning

confidence: 99%

Leader-follower dynamics in real historical time: a Markovian test of non-linear causality between sail and steam (co-)development

Damásio

Mendonça

2022

Applied Economics

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and he thanks the institution for the research context and support. No source of support or funding source played any role in the design, analysis, interpretation, or writing of the article, or in the decision to submit it to publication. This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.Leader-follower dynamics in real historical time: A Markovian test of non-linear causality between sail and steam (co-)development

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Section: Multivariate Markov Chain Methodologymentioning

confidence: 99%

Leader-follower dynamics in real historical time: a Markovian test of non-linear causality between sail and steam (co-)development

Damásio

Mendonça

2022

Applied Economics

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“…Other relevant contributions are related to the optimization algorithm, as in Lèbre, Bourguignon (2008) and Chen, Lio (2009), and to empirical applications (Ching et al, 2003;Ching, Ng, 2006;Damásio et al, 2018;Damásio, Mendonça, 2019;Damásio, Mendonça, 2020). Also, Damásio, Nicolau (2020) proposed a new methodology for detecting and testing the presence multiple structural breaks in a Markov chain occurring at unknown dates.…”

Section: Multivariate Markov Chainsmentioning

confidence: 99%

GenMarkov: Modeling Generalized Multivariate Markov Chains in R

Vasconcelos¹,

Damásio²

2022

Preprint

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This article proposes a new generalization of the Multivariate Markov Chains (MMC) model. The future values of a Markov chain commonly depend on only the past values of the chain in an autoregressive fashion. The generalization proposed in this work also considers exogenous variables that can be deterministic or stochastic. Furthermore, the effects of the MMC's past values and the effects of pre-determined or exogenous covariates are considered in our model by considering a non-homogeneous Markov chain. The Monte Carlo simulation study findings showed that our model consistently detected a non-homogeneous Markov chain. Besides, an empirical illustration demonstrated the relevance of this new model by estimating probability transition matrices over the space state of the exogenous variable. An additional and practical contribution of this work is the development of a novel R package with this generalization. Keywords Multivariate Markov chains and Mixture transition distribution Model and High order Markov chains and Multivariate Markov chains with exogenous variables and R

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“…Nonetheless, it is obvious that even during the early years of the euro, the impact of this new regime of the euro was particularly felt as increased vulnerability in the peripheral economies (Damásio et al, 2018). During the 'striking success' era of the euro (Issing, 2008, p.2), in short, the EZ Member States banking systems performed its designed functions, financing, in practice, nearly without limit, large and recurring current account deficits of some States, with the ensuing funding gap being financed in a growing degree through Eurosystem regular and Emergency Liquidity Assistance (ELA) refinancing facilities (Cabral, 2012).…”

Section: Brief Historymentioning

confidence: 99%

The Euro at Twenty: Follies of Youth?

Cabral

Louçã

2019

SSRN Journal

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This paper overviews the early history of the euro and argues that the euro was suboptimally designed, without monetary sovereignty of Eurozone (EZ) Member States, in order to comply with political goals set by wealthier Member States. Given this constraint, the euro architects designed a single currency in which its irreversibility is achieved through the EZ banking system, with recourse to the TARGET2 payment system. This allowed the banking systems of deficit Member States to fund large cumulative current account deficits in the first decade of the euro. The euro crisis led EZ policy makers to define new far more demanding fiscal rules and a new Banking Union to constrain the ability of EZ banking systems to fund sovereigns and current account deficits. Thus, the euro at twenty has become more fragile.JEL classification: F45, F32, F34, E62, E52, F36, F42

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The changing economic regimes and expected time to recover of the peripheral countries under the euro: A nonparametric approach

Cited by 5 publications

References 7 publications

Leader-follower dynamics in real historical time: a Markovian test of non-linear causality between sail and steam (co-)development

Leader-follower dynamics in real historical time: a Markovian test of non-linear causality between sail and steam (co-)development

GenMarkov: Modeling Generalized Multivariate Markov Chains in R

The Euro at Twenty: Follies of Youth?

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