Encontrados 129 documentos, a visualizar página 1 de 13
EU Finance Ministers, capital markets and fiscal outcomes
Afonso, António; Guedes, Maria JoãoWe investigate the relevance of the characteristics of Ministers of Finance as an influence on the development of stock returns, sovereign yields and fiscal outcomes, which result from the implementation of their fiscal policies. For a panel of 27 EU countries, covering the period of 1980-2012, we find that academic background, tenure and gender, play a role in determining stock and bond market returns, as well...
Revenue forecast errors in the European Union
Afonso, António; Carvalho, RuiIn this paper we assess the determinants of revenue forecast errors for the EU-15 between 1999 and 2012, based on the forecasts published bi-annually by the European Commission. Our results show that personal income rate changes increase the revenue forecast errors: for forecasts made in t for t, increases in the corporate tax rate implies a decrease in the revenue forecast errors, in t+1 and t+2. Moreover, an ...
Contagion in EU sovereign yield spreads
Afonso, António; Felix, Ana Catarina RamosSince the beginning of the sovereign debt crisis in the Euro Area, a main concern for European leaders is the prevention of the possible contagion from distressed countries. In our research, we assess if there is a spillover effect from those countries and which determinants can be considered transmission mechanisms of the sovereign debt crisis. We use a panel of 13 EU countries (Austria, Belgium, Denmark, Finl...
The relevance of fiscal rules for fiscal and yield developments
Afonso, António; Guimarães, Ana SofiaNumerical fiscal rules mitigate the bias of pro-cyclicality, as an alternative to discretionary measures conducted by policy makers. We assess whether fiscal rules impact budget balances and sovereign yields, and we perform a simulation exercise to compute debt developments of EU countries, assuming that they had implemented a numerical expenditure rule in 1990. Our panel analysis covers 27 EU countries between...
Sovereign credit ratings, market volatility and financial gains
Afonso, António; Gomes, Pedro; Taamouti, AbderrahimThe reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility, but downgrades increase stock and bond market ...
Anatomy of a fiscal débacle: the case of Portugal
Afonso, AntónioAfter entering the EU in 1986, Portugal benefited from low interest rates and some growth momentum. However, the difficulty in taming fiscal imbalances, the procyclality of fiscal policy, the use of extraordinary fiscal measures, coupled with the 2008-2009 economic and financial crisis led to a fiscal débacle and to an international financial rescue in 2011. We briefly review here those developments.
Economic forecasts and sovereign yields
Afonso, António; Nunes, Ana SofiaThe European Commission releases twice a year economic forecasts for some macro and fiscal variables (GDP growth rate, inflation, budget balance, among others). In our research we will try to understand if the corrections made to these forecasts have an impact in sovereign yields. We will perform an econometric analysis in a panel of 15 EU countries (Austria, Belgium, Germany, Denmark, Spain, Finland, France, U...
Assessment of efficiency in basic and secondary education in Tunisia, a regiona...
Afonso, António; Ayadi, Mohamed; Ramzi, SourourWe evaluate the efficiency of basic and secondary education in 24 governorates of Tunisia during the period 1999-2008 using a non-parametric approach, DEA (Data envelopment Analysis). We use four inputs: number of teacher per 100 students, number of classes per 100 students, number of schools per million inhabitants and education spending per student, while the output measures include the success rate of baccal...
Fiscal regimes in the EU
Afonso, António; Toffano, PriscillaWe assess the existence of fiscal regime shifts in the U.K., Germany, and Italy, using Markov switching fiscal rules. On the basis of a newly built quarterly data set, our results show the existence of fiscal regimes shifts, sometimes coupled with regime switches also regarding monetary developments. While in the UK “active” and “passive” (Leeper, 1991) fiscal regimes are somewhat clearer cut, in Germany fiscal...
On the time-varying relationship between EMU sovereign spreads and their determ...
Afonso, António; Arghyrou, Michael G.; Bagdatoglou, George; Kontonikas, AlexandrosWe use a dynamic multipath general-to-specific algorithm to capture structural instability in the link between euro area sovereign bond yield spreads against Germany and their underlying determinants over the period January 1999 – August 2011. We offer new evidence suggesting a significant heterogeneity across countries, both in terms of the risk factors determining spreads over time as well as in terms of the ...
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