391 documents found, page 1 of 40
Inflation tales
Afonso, António; Alves, José; Jalles, João; Monteiro, SofiaThis paper examines the impact of current account balances on energy, headline, and core inflation across developed and developing economies from 1980 to 2023. Using Panel OLS fixed effects, Panel-IV 2SLS and Panel Vector Autoregressive models, we find that an improvement in the current account consistently leads to lower inflation, with heterogeneous effects across inflation components, even when controlling f...
Stock and sovereign returns linkages: time-varying causality and extreme-quanti...
Afonso, António; Alves, José; Grabowski, Wojciech; Monteiro, SofiaWe employ a cross-quantilogram approach to assess relationships between quantiles of stock returns and sovereign yields, in the U.S. and Germany, in the period 1990-2024. Specifically, we focus on the lowest 5% quantile of stock returns and the highest 5% quantile of bond returns, providing insights into tail dependencies, crucial during market downturns and periods of heightened volatility. We also measure cau...
Too much in one basket? debt concentration and sovereign yields
Afonso, António; Alves, José; Grabowski, Wojciech; Monteiro, SofiaWe examine the effects of debt distribution characteristics, specifically skewness and maturity concentration, on sovereign yields across OECD countries over the period 1995Q1 to 2020Q4. After computing specific Lorenz curves and Gini coefficients, we find that positive skewness generally exerts a dominant influence. Employing Panel Cointegration Techniques, we show that greater skewness is associated with high...
Fiscal and external sustainability: a two-step time-varying Granger causality a...
Afonso, António; Alves, José; Coelho, José Carlos; Saadaoui, JamelWe implement a two-step analysis of fiscal and external causality patterns using a data set covering the 27 EU countries in the period 2002Q1-2023Q4. In the 1st step, we compute fiscal and external sustainability time-varying coefficients, modelling the cointegration relationship between government revenues and government spending, and between exports and imports. In the 2nd step, we use three recursive strateg...
Shaken balances: climate risks and the dynamics of fiscal and external sustaina...
Afonso, António; Alves, José; Jalles, João; Monteiro, SofiaThis paper examines the impact of natural disasters on fiscal and external sustainability across 134 economies from 1980 to 2023. We adopt a two-step approach: first, we estimate country-specific, time-varying sustainability coefficients; second, we assess their determinants using Weighted Least Squares panel regressions with fixed effects. To complement the long-run analysis, we employ local projections to cap...
Private investment and public investment : total rates of return and global bal...
Afonso, António; Alves, José; Monteiro, SofiaWe assess the relevance of macro rates of return on time-varying fiscal and external sustainability. First, we compute the total public and private macroeconomic rates of return for 16 OECD countries from 1980 to 2022. We find that there is a positive impact of higher investment returns on stimulating higher aggregate demand, therefore resulting in higher tax revenues, which in turn lead to greater fiscal susta...
The ECB’s pandemic emergency purchase programme and fiscal policy: synergies or...
Afonso, António; Ferreira, Jorge BragaWe assess how countries’ fiscal policies during COVID-19 pandemic influenced the effects of the Pandemic Emergency Purchase Programme (PEPP) on sovereign bond Option-Adjusted Spreads. Using a cross-sectional regression model with country and time-fixed effects, we analyse a sample of 1,368 euro-denominated sovereign bonds issued between Q1:2018 and Q1:2022 in 19 Eurozone countries. We consider the PEPP net purc...
Functional public sector spending and SDGs: an efficiency map for the EU countries
Afonso, António; Alves, José; Bazah, Najat; Fuentes, A. J. SánchezWe evaluate the efficiency of public expenditure in the 27 European countries in achieving the Sustainable Development Goals (SDGs) of the 2030 Agenda. Using Data Envelopment Analysis (DEA), we map performance over the period 1995-2023, incorporating Musgravian functional spending – redistribution, allocation, public services, and private activities – as input variables, and constructing synthetic indices for t...
Government scale as a stabilizer: effects on output volatility and losses
Afonso, António; Alves, José; Leal, Frederico SilvaWe examine the impact of government size on economic fluctuations and the role of fiscal policy in promoting macroeconomic stability in the period 1980-2024. The results indicate that indirect taxes, capital taxes, and social security contributions (as a percentage of GDP) are associated with lower output volatility, whereas direct taxes tend to amplify it, particularly over longer horizons. On the expenditure ...
Creating businesses in the least developed countries: does the regulatory envir...
Afonso, António; Blanco-Arana, M. CarmenThis paper assessesthe impact of the regulatory environment on the new business creation in 45 Least Developed Countries (LDC) using a panel data from 2000 to 2021. Empirical evidence, derived from a fixed effects (FE) model, indicates a strong relationship between business regulation and new business creation in LDC. This suggests that the regulatory framework of a country is a crucial factor that influences e...