We use a Three-Stage Least Square (TSLS) method and a system of equations to recursively estimate two components of fiscal policy - responsiveness and persistence - and to infer about the sources of fiscal deterioration (improvement). The results suggest that (i) government spending exhibits...

I show that when the ratio of asset wealth to human wealth, <italic>wy</italic>, falls, investors become more exposed to idiosyncratic shocks and demand a higher government bond risk premium. Using data for the Euro Area as a whole and conditioning the forecasting ability of <italic>wy</italic> on the financial stress...

I find that when the ratio of asset wealth to human wealth falls, investors become more exposed to labour income shocks and demand a higher risk premium for stocks. I show that the residuals of the trend relationship among wealth and labour income, <italic>wy</italic>, predict future stock returns in the Euro...

We show that banking crises have an important effect on income distribution: inequality increases before banking crisis episodes and sharply declines afterwards. We also find that, while a large government size does not <italic>per se</italic> seem to reduce inequality, a rise in financial depth (i.e. better...

I assess the relative performance of several exmpirical proxies developed in the literature of asset pricing to capture time variation in expected future returns using data for the United States and the United Kingdom. I show that the wealth composition risk by Sousa (2010a) exhibits strong...

This article aims at estimating money demand for the euro area, the United States and the United Kingdom using a Dynamic Ordinary Least Squares (DOLS) estimator. Our findings show that (1) wealth effects on money demand are important in the euro area and the United Kingdom; (2) the impact of...

This article investigates the short-term dynamics of public debts in the United States and the United Kingdom over more than four decades. We check for structural changes in the data and assess nonlinearity and switching-regime hypotheses using several linearity tests. Our findings point to...

Using a panel of developed and developing countries and data for the period 1980 to 2005, we find that debt crises trigger financial reforms. We also show that (i) when general economic conditions deteriorate, financial reforms become more likely to take place; (ii) IMF-stabilization programmes and...

We use a panel of developed and emerging countries for the period 1970 to 2008 to assess the cyclicality of education, health and social security government spending. We mostly find acyclical behaviour, but evidence also points to counter-cyclicality for social security spending, particularly in...

We use a panel of developed and emerging countries for the period 1970 to 2008 to assess how fiscal policy volatility and financial crises affect growth. We find that economic growth is lower in the presence of more volatile fiscal policy. Moreover, with a financial crisis government spending is...