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Determinants of Stock Market Correlations. 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 … current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …
Persistent link: https://www.econbiz.de/10014236714
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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 … current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …
Persistent link: https://www.econbiz.de/10014237624
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Determinants of stock market correlations : 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 … current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …
Persistent link: https://www.econbiz.de/10013380503
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Sovereign credit ratings, market volatility, and financial gains
Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014
Persistent link: https://www.econbiz.de/10011554962
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Government Spending Efficiency, Measurement and Applications : A Cross-country Efficiency Dataset
Afonso, António; Jalles, João Tovar; Venâncio, Ana - 2020
defines a methodology to assess public sector efficiency and it creates a novel and large cross-sectional panel dataset of …
Persistent link: https://www.econbiz.de/10014090629
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Assessing Education and Health Efficiency in OECD Countries Using Alternative Input Measures
Afonso, António - 2012
Efficiency of education and health provision in a sample of OECD countries is assessed by means of two alternative non-parametric methodologies: FDH and DEA. The efficiency frontier is estimated using both measures of expenditure and quantity inputs, as a country may well be efficient from a...
Persistent link: https://www.econbiz.de/10013109499
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3-step analysis of public finances sustainability: the case of the European Union
Afonso, António; Rault, Christophe - 2008
specific panel unit root test to investigate the meanreverting behaviour of general government expenditure and revenue ratios …. Secondly, we apply the bootstrap panel cointegration techniques that account for the time series and cross … and revenues via SUR analysis. While results imply that public finances were not unsustainable for the EU panel, fiscal …
Persistent link: https://www.econbiz.de/10011604954
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Budgetary and external imbalances relationship: a panel data diagnostic
Afonso, António; Rault, Christophe - 2008
panel cointegration tests used allow for within and between correlation, while the SUR results show both positive and …, using recent bootstrap panel cointegration techniques and SUR methods. We investigate the magnitude of the relationship …
Persistent link: https://www.econbiz.de/10011605007
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Assessing long-term fiscal developments - a new approach
Afonso, António; Agnello, Luca; Furceri, Davide; … - 2009
We use a new approach to assess long-term fiscal developments. By analyzing the time varying behaviour of the two components of government spending and revenue - responsiveness and persistence - we are able to infer about the sources of fiscal behaviour. Drawing on quarterly data we estimate...
Persistent link: https://www.econbiz.de/10011605078
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Fiscal behaviour in the European Union: rules, fiscal decentralization and government indebtedness
Afonso, António; Hauptmeier, Sebastian - 2009
We assess the fiscal behaviour in the European Union countries for the period 1990-2005 via the responsiveness of budget balances to several determinants. The results show that the existence of effective fiscal rules, the degree of public spending decentralization, and the electoral cycle can...
Persistent link: https://www.econbiz.de/10011605100