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Heinlein, Reinhold; Legrenzi, Gabriella Deborah; … - 2020

time of the COVID-19 pandemic. We provide evidence in favour of energy contagion, in term of significantly higher …

Persistent link: https://www.econbiz.de/10012227685

Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations

Heinlein, Reinhold; Legrenzi, Gabriella D.; Mahadeo, … - 2024

We empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates for a sample of emerging markets. Our period of analysis includes periods of severe stress, such as the Global Financial Crisis, the COVID-19 pandemic and the Ukrainian War. Using...

Persistent link: https://www.econbiz.de/10014534289

"Whatever it takes" to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects

Afonso, António; Arghyrou, Michael G.; Gadea, María … - 2017

This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...

Persistent link: https://www.econbiz.de/10011744997

Does Financial Inclusion Enhance per Capita Income in the Least Developed Countries?

Afonso, António; Blanco-Arana, M. Carmen - 2024

Financial inclusion is a key factor for economic growth in most developing countries. This paper examines the relationship between financial inclusion and Gross Domestic Product (GDP) per capita in the Least Developed Countries (LDCs) using panel data for the period 1990-2021. The empirical...

Persistent link: https://www.econbiz.de/10014534365

Short and long-run behaviour of long-term sovereign bond yields

Afonso, António - 2010

This study assesses the short and long-run behaviour of long-term sovereign bond yields in OECD countries, for the period 1973-2008. We employ a dynamic panel approach to reflect financial and economic integration, and to increase the performance and accuracy of the tests. Given the existence of...

Persistent link: https://www.econbiz.de/10010274743

Financial, Institutional, and Macroeconomic Determinants of Cross-Country Portfolio Equity Flows

Afonso, António; Alves, José; Beck, Krzysztof; … - 2022

We consider a new dataset that provides a description of the population of financial equity flows between developed countries from 2001 to 2018. We follow the standard practice of controlling for pull and push factors as well as gravity-style variables, while also accounting for the business...

Persistent link: https://www.econbiz.de/10013353484

Determinants of Stock Market Correlation. Accounting for Model Uncertainty and Reverse Causality in a Large Panel Setting

Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022

We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find, that a number of determinants, well established in the...

Persistent link: https://www.econbiz.de/10013427742

A Tale of Government Spending Efficiency and Trust in the State

Afonso, António; Jalles, João Tovar; Venâncio, Ana - 2022

This paper empirically links the efficiency and performance assessment of the general government, proxied by efficiency scores, to the trust in government. Government spending efficiency scores are first computed via data envelopment analysis (DEA). Then, relying on panel data and instrumental...

Persistent link: https://www.econbiz.de/10013470334

Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy

Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2018

We put forward the novel concept of energy contagion, i.e. a deepening of energy-finance linkages under crisis periods …-skewness, and co-volatility contagion tests. Our analysis is applied to the oil-exchange rate and oil-stock market relationships of … the small petroleum economy of Trinidad and Tobago. By defining our samples for the contagion measures in terms of calm …

Persistent link: https://www.econbiz.de/10011932029

Tracing the Genesis of Contagion in the Oil-Finance Nexus

Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2019

A new procedure to trace the sources of contagion in the oil-finance nexus is proposed. We do this by consolidating … extreme sub-samples for comparing market relationships in the construction of contagion tests. Our original approach is useful …

Persistent link: https://www.econbiz.de/10012179724