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Beyond borders : assessing the influence of geopolitical tensions on sovereign risk dynamics

Afonso, António; Alves, José; Monteiro, Sofia - 2023

We assess the impact of geopolitical risk and world uncertainty on the sovereign debt risk of 26 European Economies … European country's sovereign risk as measured by 5- and 10-year Credit Default Swaps (CDS) and bond returns. Moreover, this …

Persistent link: https://www.econbiz.de/10014442414

Pay and unemployment determinants of migration flows in the European Union

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

We analyze the migration drivers within the European Union countries. For a set of 23 EU countries over the 1995-2019 period, we use Bayesian Model Averaging and quantile regression to assess notably the relevance of unemployment and earnings. We find that the existence of a common border...

Persistent link: https://www.econbiz.de/10013463673

Government spending and tax revenue decentralization and public sector efficiency : do natural disasters matter?

Afonso, António; Jalles, João Tovar; Venâncio, Ana - 2023

We assess notably how do extreme events affect the public sector efficiency of decentralized governance. Hence, we empirically link the public sector efficiency scores, to tax revenue and spending decentralization. First, we compute government spending efficiency scores via data envelopment...

Persistent link: https://www.econbiz.de/10014280082

Echoes of instability : how geopolitical risks shape government debt holdings

Afonso, António; Alves, José; Monteiro, Sofia - 2024

study uses a comprehensive approach to assess the impact of rising geopolitical risk on sovereign debt holdings for a panel … investor's portfolios. Our results allow us to conclude that while domestic economic agents display clearer risk aversion …, foreign economic agents have a more risk-taking behaviour in what concerns the financial investment on government debt. …

Persistent link: https://www.econbiz.de/10014632361

What do we really know about fiscal sustainability in the EU? : a panel data diagnostic

Afonso, António (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003641707

Budgetary and external imbalances relationship : a panel data diagnostic

Afonso, António; Rault, Christophe - 2009

We assess the cointegration relationship between current account and budget balances, and effective real exchange rates, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship between the two imbalances for each country for the...

Persistent link: https://www.econbiz.de/10003808652

Spend-and-tax : a panel data investigation for the EU

Afonso, António; Rault, Christophe - 2009

Using bootstrap panel analysis, allowing for cross-country correlation, without the need of pre-testing for unit roots, we study the causality between government spending and revenue for the EU in the period 1960-2006. We find spend-and-tax causality for Italy, France, Spain, Greece, and...

Persistent link: https://www.econbiz.de/10003861754

Bootstrap panel Granger-causality between government budget and external deficits for the EU

Afonso, António; Rault, Christophe - 2009

We investigate the existence of Granger-causality between current account and government budget balances over the period 1970-2007, for different EU and OECD country groupings. We use the panel-data approach of Kónya (2006), which is based on SUR systems and Wald tests with country specific...

Persistent link: https://www.econbiz.de/10003818006

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/10008732265

3-Step analysis of public finances sustainability : the case of the European Union

Afonso, António (contributor); … - 2008

We use a 3-step analysis to assess the sustainability of public finances in the EU27. Firstly, we perform the SURADF specific panel unit root test to investigate the mean-reverting behaviour of general government expenditures and revenues ratios. Secondly, we apply the bootstrap panel...

Persistent link: https://www.econbiz.de/10003751092