An important claim of Bayesian learning and a standard assumption in price discovery models is that the strength of the price impact of unanticipated information depends on the precision of the news. In this paper, we test for this assumption by analyzing intra-day price responses of CBOT T-bond...

This article explores the behavior of the stock market in Colombia with the information given by the Bolsa de Bogotaacute; Index (Indice de la Bolsa de Bogotaacute;, IBB). The index is analyzed from January, 1930 to December, 1998. The inflation rate covers the same period; the inflation rate as...

The 2007-2008 financial crisis and the European sovereign debt crisis effects rippled through the financial system, banks and sovereign states. We analyze these events, focusing on the Portuguese and Spanish case after providing an insight into the Eurozone. We assessed the pricing of sovereign...

We assess the determinants of the 10-year sovereign yield for the period 2000-2015, in Portugal and in Ireland. Results show that the long-term Portuguese sovereign yield increased with the rise of the 10-year Bund yield and during the Securities Markets Programme, but decreased due to financial...

We assess the effect of fiscal rules on sovereign bond yields over the short and medium-term, for 34 advanced countries and 21 emerging market economies, over the period 1980-2016. Our results, based on impulse response functions, show that the dynamic impact of fiscal rules on bond yields is...

We study whether the adoption of the Euro and a single monetary policy have brought about a change in the monetary transmission mechanism and between the interactions of monetary policy, fiscal policy and financial stress in the Euro area. We find that the stylized facts of monetary transmission...

We examine the determinants of non-resident government debt ownership, accounting for domestic and external factors and financial variables during the period 2000Q2-2014Q4, focussing on a small euro area open economy: Portugal. Our results show that better fiscal positions, higher systematic...

We link governments’ spending efficiency scores, to sovereign debt assessments made by financial markets´, more specifically by three rating agencies (Standard & Poors, Moody´s and Fitch). Public efficiency scores are computed via data envelopment analysis. Then, we rely notably on ordered...

In this paper we study the determinants of sovereign debt credit ratings using rating notations from the three main international rating agencies, for the period 1995-2005. We employ panel estimation and random effects ordered probit approaches to assess the explanatory power of several...

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...