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The indebtedness of households up until the economic adjustment programme for Portugal: an empirical assessment
José Ricardo Borges Alves*
Rita Maria Henriques Pereira *
Rita Maria Henriques Pereira
Affiliation: ISEG, Universidade de Lisboa, Lisbon, Portugal
0000-0003-1359-1586
Article | Year: 2020 | Pages: 529 - 550 | Volume: 44 | Issue: 4 Received: December 2, 2019 | Accepted: July 17, 2020 | Published online: December 1, 2020
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FULL ARTICLE
FIGURES & DATA
REFERENCES
CROSSMARK POLICY
METRICS
LICENCING
PDF
Source: World Bank (2013).
Source: World Bank (2013).
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1
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2
|
1
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0.769918
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0.230082
|
2
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0.049433
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0.950567
|
Source: Authors’ calculations.
Source: Authors’ calculations.
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1961-2011
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1961-1975
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1992-2011
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GDP does not Granger Cause DCPS
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0.001
(9.178)
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0.010
(8.764)
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0.022
(5.193)
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DCPS does not Granger Cause GDP
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0.000
(9.871)
|
0.279
(1.504)
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0.008
(7.144)
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Source: Authors’ calculations. Tests conducted with 2 lags. The F-statistics are in parenthesis.
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OLS
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DOLS
|
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OLS
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DOLS
|
|
|
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1961-2011
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|
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DCPS
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0.000
(4.279)
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0.000
(12.096)
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GDP
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0.000
(4.279)
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0.000
(4.338)
|
|
|
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1992-2011
|
|
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DCPS
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0.008
(3.178)
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0.013
(-2.973)
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GDP
|
0.008
(3.178)
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0.640
(-0.481)
|
Note: 46 observations for the 1961-2011 and 20 observations for the 1992-2011 period. Source: Authors’ calculations. T-statistics are in parenthesis.
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GDP
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DCPS
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DCPS
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0.015
(2.995)
|
|
GDP
|
|
0.582
(-0.570)
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Note: 13 observations. Source: Authors’ calculations. T-statistics are in parenthesis.
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GDP
|
DCPS
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ƛGDP
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-0.159
(-0.880)
|
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ƛDCPS
|
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-72.566
(-4.826)
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Note: 13 observations. Source: Authors’ calculations. T-statistics are in parenthesis.
Bruno, C. and Shin, S., 2015. Cross-Border Banking and Global Liquidity. The Review of Economic Studies, 82(2), pp. 535-564 [ CrossRef]
Drehmann, M. and Juselius, M., 2014. Evaluating early warning indicators of banking crises: Satisfying policy requirements. International Journal of Forecasting, 30(3), pp. 759-780 [ CrossRef]
Farinha, L. and Noorali, S., 2004. Indebtedness and wealth of Portuguese households. Lisbon: Bank of Portugal.
Giese, J. [et al.], 2014. The credit-to-gdp gap and complementary indicators for macroprudential policy: evidence from the UK. International Journal of Finance & Economics, 19(1), pp. 25-47 [ CrossRef]
Hansen, N. and Sulla, O., 2013. Credit growth in Latin-America: financial development or credit boom? IMF Working Papers, No. 13/106 [ CrossRef]
Jordà, Ò., Schularick, M. and Taylor, A., 2011. Financial Crises, Credit Booms, and External Imbalances: 140 Years of Lessons. IMF Economic Review, 59(2), pp. 340-378 [ CrossRef]
Kelly, R., McQuinn, K. and Stuart, R., 2011. Exploring the Steady-State Relationship Between Credit and GDP for a Small Open Economy. The Economic and Social Review, 42(4), 455-477.
Lopes, J., 1983. A economia portuguesa e os acordos de estabilização económica com o Fundo Monetário Internacional. Economia, 7(3), pp. 555-596.
Rubaszek, M. and Serwa, D., 2014. Determinants of credit to households: An approach using the life-cycle model. Economic Systems, 38(4), pp. 572-587 [ CrossRef]
Shin, H., 2013. Procyclicality and the Search for Early Warning Indicators. IMF Working Papers, No. 2013/258 [ CrossRef]
Stock, J. and Watson, M., 1993. A simple estimator of cointegrating vectors in higher order integrated systems. Econometrica, 61(4), pp. 783-820 [ CrossRef]
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December, 2020 IV/2020 |