António Afonso
University of Lisbon, ISEG, Faculty Member
- BA, MSc., PhD., and Aggregation in Economics, ISEG (University of Lisbon). President of UECE - Research Unit on Compl... moreBA, MSc., PhD., and Aggregation in Economics, ISEG (University of Lisbon). President of UECE - Research Unit on Complexity and Economics, President of REM-Research in Ecomics and Mathematics, coordinator of the Master in Monetary and Financial Economics, and coordinator of the PhD in Economics. Previously: Principal Economist at the European Central Bank, Senior Economist at CGD, BNU, and at IGCP, and Consultant and Adviser at the Ministry of Finance. Previous project work: Inter-American Development Bank, European Commission, OECD, European Court of Auditors and International Monetary Fund.edit
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The present study investigates dynamic relationship between exports and imports of Pakistan by using fiscal year data from1948-49 to 2012-13. ARDL co-integration technique has been employed to estimate the relationship and from empirical... more
The present study investigates dynamic relationship between exports and imports of Pakistan by using fiscal year data from1948-49 to 2012-13. ARDL co-integration technique has been employed to estimate the relationship and from empirical results, it is concluded that exports and imports are indeed co-integrated or in other words, long run equilibrium relationship does exist between exports and imports of Pakistan. It is further concluded that Pakistan is not violating its international budget constraints. VECM estimation also confirms that exports and imports are co-integrated and coefficient of error correction term indicates that in case of any departure from equilibrium exports adjust back at the speed of 17.147 percent of its last year disequilibrium value and it takes 5.832 years to fade away any impact caused by short term trade imbalances. Results obtained by Toda and Yamamoto (1995) test indicate that bi-directional causal relationship also exists between exports and imports...
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Research Interests: Economics, Public Finance, Public Economics, Political Science, Public Choice, and 13 moreRule of Law, Public sector, Applied Economics, Production economics, Social Science Research Network, Market economy, International Comparison, Frontier, Government expenditure, Efficiency, Performance Indicator, Public Infrastructure, and Health Outcome
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Research Interests: Economics, Public Finance, Property Rights, Economic policy, Public sector, and 15 moreApplied Economics, Emerging Markets, Emerging Market, Computational Efficiency, Efficiency, Econometric analysis, New Member States, Public health systems and services research, Wirtschaft, Wirtschaftspolitik, Productivity and Efficiency Measurement, Member States, Measurement technique, Finance and Investment Banking, and Efficiency Measurement
Research Interests: Economics, Economic policy, European Union, Fiscal policy, Public expenditure, and 13 moreEuro Area, Social Science Research Network, Revenue, Debt, Budget Deficit, Fiscal Deficit, Fiscal Sustainability, Sustainability, Intertemporal budget constraint, Fiscal Policy Sustainability, Finance and Investment Banking, Structural Break, and cointegration test
In this article, we study the relationship between the government budget balance and the current account balance for Portugal, using quarterly data from 1999 to 2019. On the one hand, the causality tests find a unidirectional relation... more
In this article, we study the relationship between the government budget balance and the current account balance for Portugal, using quarterly data from 1999 to 2019. On the one hand, the causality tests find a unidirectional relation running from the current account balance to the government budget balance. On the other hand, estimations show a bi-directional relationship between these variables, and the existence of a bilateral relationship between the structural components of both balances. Even so, the policy implication is that the use of fiscal policy to correct the external imbalance, especially in an economic crisis, is not substantial, due to the small size of the estimated impact. In addition, with an ARDL model, we find a negative long run relationship between the share of public consumption on GDP and the current account balance. As expected, the variation of real public consumption produces an adverse accumulated response on the current account balance. Finally, the inv...
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António Afonso # $ and João Tovar Jalles+ This paper investigates the sustainability of fiscal policy in a set of 19 countries by taking a longer-run secular perspective over the period 1880-2009. Via a systematic analysis of the... more
António Afonso # $ and João Tovar Jalles+ This paper investigates the sustainability of fiscal policy in a set of 19 countries by taking a longer-run secular perspective over the period 1880-2009. Via a systematic analysis of the stationarity properties of the first-differenced level of government debt, and disentangling the components of the debt series using Structural Time Series Models, we are able to conclude that the solvency condition would be satisfied in mostly all cases since non-stationarity can be rejected, and, therefore, longer-run fiscal sustainability cannot be rejected (Japan and Spain can be exceptions). The same would be true for the panel sample analysis.
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We estimate changes in fiscal policy regimes in Portugal with a Markov Switching regression of fiscal policy rules for the period 1978– 2007, using a new dataset of fiscal quarterly series. We find evidence of a The opinions expressed... more
We estimate changes in fiscal policy regimes in Portugal with a Markov Switching regression of fiscal policy rules for the period 1978– 2007, using a new dataset of fiscal quarterly series. We find evidence of a The opinions expressed herein are those of the authors and do not necessarily reflect those of the ECB or the Eurosystem. We are grateful to an anonymous referee for helpful comments. UECE is supported by FCT (Fundação para a Ciência e a Tecnologia, Portugal), financed by ERDF and Portuguese funds.
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Research Interests: Economics, Economic Growth, Unemployment, Financial development, Panel Data, and 11 moreFinancial Crisis, Crisis, Financial System, Social Science Research Network, Finanzas, Random Effects Model, Inflation Cosmology, Capitalization, Market Capitalization, Per Capita Income, and desarrollo económico y social
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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 functios, show... more
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 functios, show that the dynamic impact of fiscal rules on bond yields is negative and statistically significant, implyinglower government’s borrowing costs. This is a result stemming essetially from the advanced economies subsample. Moreover, in times of recession, a fiscal rule leads financial markets toreduce the risk premia on government bonds. Finally, when it comes to design features of fiscalrules, independent monitoring of compliance to the rule also reduces sovereign yields.
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We assess the determinants of long-term sovereign yield spreads, vis-a-vis Germany, using a panel of 10 Euro area countries over the period 1999.01–2016.07 notably regarding the ECB’s conventional and unconventional monetary policies. Our... more
We assess the determinants of long-term sovereign yield spreads, vis-a-vis Germany, using a panel of 10 Euro area countries over the period 1999.01–2016.07 notably regarding the ECB’s conventional and unconventional monetary policies. Our findings indicate that the international risk, the bid-ask spread and real effective exchange rate increased the 10-year sovereign bond yield spreads, while sovereign ratings’ improvements decreased the spreads. Moreover, Longer-term Refinancing Operations and the Securities Market Program decreased the yield spreads. The overall announcements of the unconventional policies also significantly decreased the yield spreads, notably in the periphery countries.
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We estimate fiscal reaction functions for a panel of 173 countries using data between 1970-2014. Most notably, we assess the existence of non-Ricardian regimes, as postulated in the Fiscal Theory of the Price Level (FTPL), or, contrarily,... more
We estimate fiscal reaction functions for a panel of 173 countries using data between 1970-2014. Most notably, we assess the existence of non-Ricardian regimes, as postulated in the Fiscal Theory of the Price Level (FTPL), or, contrarily, the possibility of Ricardian regimes. By means of several, well established and state-of-the-art, panel data techniques, we find that: governments have on average increased the primary balance as a response to higher previous government indebtedness, implying a Ricardian fiscal regime, contradicting the FTPL. In addition, the Ricardian results are confirmed for the advanced countries and for the euro area group, but are less clear for the other country groups, lacking statistical significance. A more Ricardian fiscal regime emerged essentially after 1995 and notably in the sub-period 2008-2014, after the Global Financial Crisis (before that statistical insignificance is the norm) From a P-VAR analysis, we find that increases in government indebtedn...