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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

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

To consolidate or not to consolidate? : a multi-step analysis to assess needed fiscal sustainability

Afonso, António; Alves, José; Jalles, João Tovar - 2022

We assess the specific need (or its absence) of a country to implement a fiscal consolidation programme by focusing specifically on their degree of success, notably in terms of fiscal sustainability. The "need" to consolidate is based on having a primary balance above or below the...

Persistent link: https://www.econbiz.de/10012938962

The effects of monetary policy surprises and fiscal sustainability regimes in the Euro Area

Afonso, António; Alves, José; Ionta, Serena - 2023

We study the effect of monetary surprise shocks on real output and the price level, conditioned on different fiscal sustainability regimes in the period 2001Q4-2021Q4. First, we estimate time-varying fiscal sustainability coefficients based on Bohn's (1998) approach through Schlicht's (2003)...

Persistent link: https://www.econbiz.de/10014313459

Monetary policy surprise shocks under different fiscal regimes : a panel analysis of the Euro Area

Afonso, António; Alves, José; Ionta, Serena - 2023

We study the effect of monetary policy surprise shocks on real output and the price level, conditioned on different fiscal stances in the period 2001Q4-2021Q4 for a panel of the 19 countries of the Euro Area. Applying local projection methodology, we find that the effect of monetary shocks...

Persistent link: https://www.econbiz.de/10014336399

Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances

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

Acknowledging 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 … risk, proxied by 10-year CDS and CDS spreads (against the US) making use of Weighted Least Squares (WLS) analysis …

Persistent link: https://www.econbiz.de/10014486806

Fiscal sustainability and the role of inflation

Afonso, António; Alves, José; Matvejevs, Oļegs; … - 2023

We examine the relationship between inflation and fiscal sustainability with a two-step approach. In the first step, we estimate to estimate a country-specific time-varying measure of fiscal sustainability using the fiscal reaction function. This function captures the response of the primary...

Persistent link: https://www.econbiz.de/10014444867

The pressure is on : how geopolitical tensions impact institutional fiscal and external stability responses

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

sustainability, although with a stronger effect when took into consideration the home geopolitical risk. Moreover, the effects of …

Persistent link: https://www.econbiz.de/10014517944