18 documents found, page 1 of 2
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...
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...
Energy price dynamics in the face of uncertainty shocks and the role of exchang...
Afonso, António; Alves, José; Jalles, João; Monteiro, SofiaThis study examines the effects of geopolitical risk and global uncertainty on energy prices, conditioned by different exchange rate regimes, for 185 economies over the period 1980-2023. The central question is how uncertainty impacts energy prices and whether exchange rate flexibility mediates these effects. Using panel data techniques, including OLS and Panel VAR, we assess both demand and supply-side channel...
Beyond the centre : tracing decentralization’s Influence on time-varying fiscal...
Afonso, António; Alves, José; Jalles, João Tovar; Monteiro, SofiaThis paper explores the nuanced relationship between fiscal decentralization and fiscal sustainability. Employing panel data analyses, it scrutinizes how decentralization influences fiscal discipline across different governmental levels. Results for 185 countries show that while tax decentralization often hampers the degree of fiscal responsiveness, potentially due to misaligned local and national objectives an...
The impact of atrial voltage and conduction velocity phenotypes on atrial fibri...
Cunha, Pedro; Laranjo, Sérgio; Monteiro, Sofia; Portugal, Guilherme; Guerra, Cátia; Rocha, António Condeixa; Pereira, Mariana; Ferreira, Rui CruzIntroduction: Low atrial voltage and slow conduction velocity (CV) have been associated with atrial fibrillation (AF); however, their interaction and relative importance as early disease markers remain incompletely understood. We aimed to elucidate the relationship between atrial voltage and CV using high-density electroanatomic (HDE) maps of patients with AF. Methods: HDE maps obtained during sinus rhythm in 5...
Determinants of trade partner concentration : an analysis for European countries
Afonso, António; Alves, José; Menescal, Lucas; Monteiro, SofiaAfter computing the Gini and Herfindahl-Hirschman indexes for exports and imports partner concentration for a set of 31 European countries between 1995 and 2023, we analyse the role of macroeconomic, institutional and uncertainty effects on the partner concentration (diversification) of exports and imports. From our analysis, we disentangle different effects, namely that while global GDP leads to an increase in...
The role of global uncertainty in shaping trade flow relations : a cross-countr...
Afonso, António; Alves, José; Menescal, Lucas; Monteiro, SofiaWe examine the effects of World Uncertainty and Geopolitical Risk on Trade flows for 31 European economies between 1995 and 2023. To do so, we resort to Panel estimation techniques, including OLS and Poisson Pseudo Maximum Likelihood (PPML). Our findings reveal that European nations primarily respond to global uncertainty by concentrating their exports and imports among top trading partners particularly their t...
Sovereign risk dynamics in the EU : the time varying relevance of fiscal and ex...
Afonso, António; Alves, José; Monteiro, SofiaAcknowledging the potential detrimental impact that twin-deficits may have on sovereign risk, this study uses a two-step approach to assess the impact of fiscal and external sustainability on sovereign risk dynamics for a panel of 27 European Economies between 2001Q4 and 2022Q3. To do so, we first estimate a country-specific time-varying measure of fiscal sustainability, through the cointegration between govern...