This paper investigates the existence of non-linear dependence in 10-years government bonds price quotes for the period 1995:08-1998:10, for 12 countries. If present, non-linear dependence would contradict the random walk model and the financial markets weak form efficiency hypothesis. Using...

This paper studies the normality of two portuguese stock exchange indexes, using daily returns for the period 1990-1995. The results of the tests allow to discard the hypothesis of normality. Weak form efficiency, evaluated through runs tests, is also rejected, while daily returns turn out to be...

This paper investigates the existence of non-linear dependence in Portuguese financial time series namely stock exchange indexes returns. Non-linear dependence may exist in a series even if we have already concluded for the lack of linear dependence. If present, non-linear dependence would...

The hypothetical existence of rationing in the credit market is of paramount importance to understand the transmission mechanism of monetary policy. Two indirect empirical tests of credit rationing are presented and discussed using Portuguese data. The first test is a stickiness test to the...

In this paper we assess the importance given in capital markets to the credibility of the European fiscal framework. We evaluate to which extent relevant fiscal policy events taking place in the course of 2002 produced a reaction in the long-term bond segment of the capital markets. Firstly, we...

An analysis of the possible determinants of sovereign credit ratings assigned by the two leading credit rating agencies, Moody's and Standard and Poor's, is conducted in this paper by using linear, logistic, and exponential transformations of the rating scales. Of the large number of variables...

Using ordered logit and probit plus random effects ordered probit approaches, we study the determinants of sovereign debt ratings. We found that the last procedure is the best for panel data as it takes into account the additional cross-section error