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The monetary transmission mechanism in the Euro Area : has it changed with the EMU? : a VAR approach, with fiscal policy and financial stress considerations
Afonso, António; Silva, António Jorge - 2014
Persistent link: https://www.econbiz.de/10011554780
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Sovereign yield spreads in the EMU : crisis and structural determinants
Afonso, António; Leal, Frederico Silva - 2017
Persistent link: https://www.econbiz.de/10011795241
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Fiscal developments and financial stress : a threshold VAR analysis
Afonso, António; Baxa, Jaromír; Slavík, Michal - 2011
Persistent link: https://www.econbiz.de/10011564857
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Fiscal developments and financial stress : a threshold VAR analysis
Afonso, António; Baxa, Jaromír; Slavík, Michal - 2011
We use a threshold VAR analysis to study whether the effects of fiscal policy on economic activity differ depending on financial market conditions. In particular, we investigate the possibility of a non-linear propagation of fiscal developments according to different financial market stress...
Persistent link: https://www.econbiz.de/10008935826
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Fiscal developments and financial stress : a threshold VAR analysis
Afonso, António; Baxa, Jaromír; Slavík, Michal - 2011
We use a threshold VAR analysis to study whether the effects of fiscal policy on economic activity differ depending on financial market conditions. In particular, we investigate the possibility of a non-linear propagation of fiscal developments according to different financial market stress...
Persistent link: https://www.econbiz.de/10009152600
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Contagion in EU sovereign yield spreads
Afonso, António; Félix, Ana Catarina Ramos - 2013
Persistent link: https://www.econbiz.de/10011554761
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"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects
Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. We use a two-step empirical approach. First, we apply a time-varying parameter panel modelling framework...
Persistent link: https://www.econbiz.de/10011759005
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"Whatever it takes" to resolve the European sovereign debt crisis? : bond pricing regime switches and monetary policy effects
Afonso, António; Arghyrou, Michael Georgiou; Gadea, … - 2017
This paper investigates the role of unconventional monetary policy as a source of time-variation in the relationship between sovereign bond yield spreads and their fundamental determinants. Our results provide evidence of a new bond-pricing regime following the announcement of the Outright...
Persistent link: https://www.econbiz.de/10011735972
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Sovereign debt crisis in Portugal and Spain
Afonso, António; Verdial, Nuno - 2020
into the Eurozone. We assessed the pricing of sovereign risk by performing an OLS/2SLS fixed effects panel analysis on a … pool of Eurozone countries and a SUR regression with Portugal and Spain covering the period 1999:11 until 2019:6. Our …. Specifically, market pricing of the Eurozone credit risk, liquidity risk and the risk appetite increased after the crisis and it …
Persistent link: https://www.econbiz.de/10012164218
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Fiscal policy and growth: do financial crises make a difference?
Afonso, António; Grüner, Hans Peter; Kolerus, Christina - 2010
In this paper we assess to what extent in the existence of a financial crisis, government spending can contribute to mitigate economic downturns in the short run and whether such impact differs in crisis and non crisis times. We use panel analysis for a set of OECD and non-OECD countries for the...
Persistent link: https://www.econbiz.de/10011605263