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Ensuring the resilience of the financial system implies managing a trade-off between expected bank profitability and tail risk in bank returns. To describe this trade-off, we estimate a dynamic quantile regression model using bank-level data for Portugal that links future bank profitability to the current cyclical systemic risk environment net of the prevailing level of capital-based resilience (residual cyclical systemic risk). We find that an increase in residual cyclical systemic risk negatively affects the conditional distribution of bank profitability at the medium-term projection horizons, confirming the findings in the literature. We propose a novel calibration rule for the countercyclical capital buffer (CCyB), which is flexible enough to accommodate different preferences of the policymaker and factors in the prevailing levels of cyclical systemic risk and capital-based resilience. We illustrate the operationalisation of this rule under different assumptions for the policymaker preferences and show how tightening capital requirements alters the risk-return relationship of future profitability in the banking sector. We find evidence that increasing the CCyB rate improves the outlook for medium-term downside risk in bank profitability and worsens the outlook for short-term expected profitability, stressing the tradeoff faced by the policymaker when deploying policy instruments and the misalignment in the horizons at which costs and benefits take place. info:eu-repo/semantics/publishedVersion

We research gender differences in unemployment incidence and persistence during the debt crisis in Portugal. A dynamic random effects probit model is estimated to control for unobserved individual heterogeneity and for the ‘initial conditions’ problem. The estimation uses data from four waves of the Survey on Income and Living Conditions (ICOR) between 2010 and 2013. We find strong evidence of persistence in unemployment, and an indication that men are more prone to endure the negative implications of previous unemployment. Simultaneously, we found evidence of higher probabilities of unemployment for women through a fixed effect that aimed to capture gender discrimination in an unstable labour market. Results suggest that policies to boost employment should accommodate a gender dimension and also have a special focus on the long-term unemployed. info:eu-repo/semantics/publishedVersion

Mestrado em Econometria Aplicada e Previsão Através de um modelo dinâmico probit de efeitos aleatórios, estimou-se a probabilidade de desemprego em Portugal de forma a avaliar se existem diferenças entre géneros nos efeitos parciais médios e na persistência do desemprego. Os dados utilizados provêm do Inquérito ao Rendimento e Condições de Vida (ICOR) para o período entre 2010 e 2013. A estimação é feita ao mesmo tempo que se controla pela heterogeneidade individual não observada e pelo problema das condições iniciais, que ocorre pelo fato de não se conhecer o processo estocástico que originou o estado de desemprego observado. Encontrámos forte evidência empírica de persistência do desemprego, e alguma evidência de que esta persistência é mais pronunciada para os homens. Através da inclusão de um efeito fixo especifico para as mulheres, que pretende captar o efeito da discriminação de género num período de instabilidade no mercado de trabalho, concluímos que existe evidência estatística de maior probabilidade de desemprego para as mulheres. Este trabalho tem como principais contributos o estudo dos determinantes da probabilidade de desemprego, que representa uma carência da literatura em economia do trabalho, no fato de o estudar num período de grande desemprego em Portugal, e no especial enfoque que dá à persistência do desemprego e à discriminação de género. Using a dynamic random effects probit model we estimate the probability of unemployment in Portugal in order to assess gender differences in average partial effects and in unemployment persistence, with data from four waves of the Survey on Income and Living Conditions (ICOR), for the period between 2010 and 2013. The estimation occurs while controlling for unobserved individual heterogeneity and for the "initial conditions" problem, which arises from not knowing the stochastic process which originated the observed state of unemployment. We find strong evidence of persistence in unemployment, with some, although weak, evidence that men suffer more from the negative implications of previous unemployment. Simultaneously, we found evidence of higher probabilities of unemployment for women through a fixed effect that aimed to capture gender discrimination in an unstable labor market. The main contributions of the present work lie in the study of the determinants of the probability of unemployment, which represents a shortage in the current literature in labor economics, during a period of high unemployment in Portugal, and by having a special focus on unemployment persistence and gender discrimination. info:eu-repo/semantics/publishedVersion