António Afonso

António Afonso
University of Lisbon, ISEG · Economics Department

PhD in Economics

About

343
Publications
79,802
Reads
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9,663
Citations
Citations since 2017
125 Research Items
4892 Citations
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20172018201920202021202220230200400600800
20172018201920202021202220230200400600800
20172018201920202021202220230200400600800
Introduction
BA, MSc., PhD., and Aggregation in Economics, ISEG. President of UECE - Research Unit on Complexity and Economics, President of REM-Research in Economics 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, European Court of Auditors, OECD, and International Monetary Fund.
Additional affiliations
September 2002 - December 2012
European Central Bank
January 1992 - December 2012
Universidade Técnica de Lisboa

Publications

Publications (343)
Article
We assess public finances solvency for Euro Area countries, using quarterly data from 1999Q1 to 2020Q4. For most countries: (i) the primary budget balance reacts positively to the lagged debt-to-GDP ratio and past primary budget balances contribute to the reduction of the debt-to-GDP ratio, indicating a Ricardian fiscal regime. In the country-by-co...
Preprint
Full-text available
We examine 22 determinants of stock market correlations in a panel setting with 651 country pairs of developed economies over the 2001-2018 period, while accounting for model uncertainty and reverse causality. On the one hand, we find, that a number of determinants, well established in the literature, e.g. trade, institutional distance, and exchang...
Article
We assess the specific need (or its absence) of a country to implement a fiscal consolidation programme by focusing specifically on their degree of success, notably in terms of fiscal sustainability. The “need” to consolidate is based on having a primary balance above or below the debt-stabilizing primary balance (provided by the IMF's Debt Sustain...
Article
We assess the consequences of fiscal consolidation episodes on public sector efficiency (scores) for 35 OECD countries for the 2007-2020 period. We find that fiscal consolidations improve public sector efficiency and results are robust across efficiency models. Moreover, peripheral euro-area economies and economies with debt-to-GDP ratios betwee...
Article
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...
Presentation
Full-text available
We consider a new dataset that provides a description of the population of financial equity flows between developed countries from 2001 to 2018. We follow the standard practice of controlling for pull and push factors as well as gravity-style variables, while also accounting for the business cycle, public debt and sovereign ratings. Our key finding...
Article
We re-examine the nexus between fiscal balances and current account balances for 18 OECD countries from 1995Q1 to 2018Q1 using panel cointegration and panel vector autoregressive (VAR). The findings confirm a long-run relationship between the fiscal balance and the current account balance. Our results indicate that strengthening the fiscal balance...
Article
We assess the cyclicality of fiscal policy in the 19 Euro area countries, notably during recessions, for the period 1995-2020. We use a time-varying measure of fiscal cyclicality to describe fiscal policy developments. The results suggest that during recessions discretionary fiscal policy becomes more pro-cyclical, but the overall budget balance be...
Preprint
Full-text available
We consider a new dataset that provides a description of the population of financial equity flows between developed countries from 2001 to 2018. We follow the standard practice of controlling for pull and push factors as well as gravity-style variables, while also accounting for the business cycle, public debt and sovereign ratings. Our key finding...
Article
Full-text available
A Crise Financeira Global conduziu a um aumento significativo das posições fiscais (isto é, défices orçamentais e dívida pública mais elevados), dando origem a inúmeras pesquisas académicas relativas à sustentabilidade fiscal. Muito embora existam bastantes estudos sobre a sustentabilidade fiscal nas economias mais avançadas, a nossa contribuição a...
Poster
Full-text available
Fiscal sustainability, a research framework.
Article
Full-text available
Corruption is often a source of contentious debate, covering different areas of knowledge, such as philosophy and sociology. In this paper we assess the effects of corruption on economic activity and highlight the relevance of the size of the government. We use dynamic models and the generalised method of moments approach for a panel of 48 countrie...
Article
We revisit the relation between budget deficits and current account deficits for 28 European Union countries from 1996 to 2019. We find that an increase in budget deficit of 1 pp of GDP results in a deterioration of the current account deficit of 0.318 pp of GDP, which supports the Twin Deficits Hypothesis. On the other hand, dynamic panel estimate...
Article
We empirically assess whether the negative response of private consumption and private investment to fiscal consolidation usually expected is reversed. We focus on a sample of 174 countries between 1970 and 2018 to determine episodes of fiscal consolidations using three alternative measures of the cyclically adjusted primary balance: (1) an Interna...
Article
We assess whether the introduction of private equity capital markets affects economic growth in African countries. We address this issue by focussing on stock exchange markets as the predominant type of new equity markets, using a Diff-in-Diff regression method. The analysis uses a panel data set from 48 Sub-Saharan countries over the time range of...
Article
We provide a novel set of government spending efficiency scores for the OECD countries and then assess to what extent capital markets perceive government efficiency increases (decreases) as part of the determinants of sovereign rating decisions. Public efficiency scores are computed via data envelopment analysis. Then, we rely notably on ordered re...
Article
We empirically assess fiscal responses for 28 EU countries over the 1995Q1-2021Q2 period. At the same time, we evaluate the importance, for fiscal stance reactions, of notably the difference between economic growth and long-term interest rates. We find a positive response of the primary balance to an increase in government debt for the EU panel, im...
Article
We revisit the relationship between economic growth and financial development in OECD/EU countries in the period 1990–2016, encompassing the 2008-09 Global Financial Crisis. We consider several variables of financial development to evaluate their influence on economic growth when they collectively interact in advanced economies. Thus, using a rando...
Article
Full-text available
We empirically assess the effects of structural tax reforms on government spending efficiency in a sample of 18 OECD economies over the period 2006–2017. After calculating input spending efficiency scores, we evaluate in a panel setup the relevance for public sector efficiency of narrative tax changes. We find that: i) input efficiency scores avera...
Article
We revisit the twin-deficits relationship for a sample of 65 countries with fiscal rules over the period 1985-2015, using a panel data estimation methods. Our analysis accounts for the role of various types of fiscal rules and institutions: expenditure rules, revenue rules, budget balance rules, debt rules, fiscal councils, and supporting procedure...
Article
In the aftermath of the Global and Financial Crisis, between 2013 and 2015, the Portuguese government revoked four holidays for both public sector and private employees. We test whether the revocation had an effect on labour productivity in state-owned enterprises (SOEs) in Portugal. Moreover, we also study whether such effects are different taking...
Article
This paper evaluates the relevance of taxation for public spending efficiency in a sample of OECD economies for the period of 2003–2017. We start by computing the data envelopment analysis (DEA) scores, and then we evaluate the role of tax structure in explaining these public efficiency scores, using a reduced-form panel data regression specificati...
Article
Full-text available
Neste estudo fornecemos novas evidências sobre a relação entre a dívida pública e o crescimento econômico no Brasil. Foram aplicados testes de causalidade de Granger, em análises multivariadas e bivariadas usando Vetor de Correção de Erros (VEC) e modelos Autorregressivos de Defasagens Distribuídas (ARDL). Utilizaram-se dados mensais entre janeiro...
Article
We study the sovereign bond market co‐movements and spillovers within 10 EMU countries, the so‐called “periphery” and “core” countries, during the period 1999:01 to 2016:07. Implementing Generalized Methods of Moments (GMM) within a panel setting and bivariate VAR analysis, we find that an increase in the lagged spreads of Italian and Austrian bond...
Article
Full-text available
Using annual data for a panel of eight large emerging market economies from 1980 to 2015, we uncover the underlying linkages between government size, unemployment, and inflation by using the panel cointegration and causality frameworks. Overall, our empirical results show that there exists a unidirectional causality running from government size to...
Article
Full-text available
We assess the transmission of the Targeted Longer‐Term Refinancing Operations (TLTRO) to the bank credit supply for the Euro area (2014–2017) and for Portugal (2011:02–2018:01), using a panel data setup. In order to estimate a causal effect, we construct an instrumental variable (IV) using the maximum borrowing allowance in the TLTRO. For the Euro...
Article
We estimate short‐ and long‐run elasticities of private consumption for fiscal instruments, using a fixed‐effects model for the 19 Euro area countries during the period of 1960–2017, to assess how fiscal elasticities vary during fiscal episodes. According to the results, positive ‘tax revenue’ elasticities indicate that consumers have Ricardian beh...
Article
We assess the impact of announcements corresponding to different fiscal and monetary policy measures on 10-year sovereign bond yield spreads (relative to Germany) of 10 EMU countries during the period 01:1999-07:2016. Implementing country-fixed effects OLS regressions, we find that the European Commission’s (EC) releases of the excessive deficit pr...
Article
Full-text available
Using monthly data for 10 euro area countries between 1999:01 and 2015:12, we take a new three-step methodological approach: first, we inspect the key determinants of 10-year government bond yield spreads; second, we compute country-specific time-varying coefficient models of spreads’ determinants; third, we use these estimates as explanatory varia...
Article
We empirically assess the magnitudes of sovereign indebtedness responses for a sample of 123 Advanced and Emerging Market Economies, between 1980 and 2018, taking into account the changing characteristics of financial markets, notably the Global and Financial Crisis. Our results show that when the financial conditions are more stressful, for instan...
Article
We assess the sustainability of external imbalances for EU countries using panel stationarity tests of Current Account (CA) balance-to-GDP ratios and panel cointegration of exports and imports of goods and services, for the period 1970Q1–2015Q4. We find that: i) the country panel is non-stationary; ii) cross-sectional dependence plays an important...
Article
We study the effect of a Portuguese structural reform, which reduced the number of parishes, on municipality spending efficiency between 2011 and 2016. We build a composite output indicator and use Data Envelopment Analysis (DEA) to compute efficiency scores. Then, we use a second-stage regression to evaluate the effect of the reform on municipal e...
Article
Full-text available
We assess how “big” government should reasonably be in a number of advanced countries. First, we will link the recent findings of Data Envelope Analysis on efficient public expenditure with the question of the size of the government. Second, we report descriptive analysis of various government performance indicators in relation to public expenditur...
Article
Full-text available
In this study we assess the relationship between several tax items and consumption and income inequality levels. For OECD countries between 1980 and 2015 we use panel data techniques and find tax threshold values regarding inequality levels and consumption. In particular, we obtain threshold values for social security contributions between 9.50% an...
Article
We assess empirically the macroeconomic effects of public debt for the case of Mozambique over the period of 2000Q1-2016Q4. We use a Vector Autoregression model to assess these effects through impulse response functions and variance decomposition. We conclude that debt service variables have more negative economic effects than debt variables. Debt...
Article
We conduct an analysis of Exchange-traded Funds (ETFs), Index and Equity mutual funds and their respective benchmark during the 2010-2015 period for the Portuguese fund industry. For the period 2010-2017, we test ETFs for price inefficiency (existence of deviations between prices and the Net Asset Value) and persistence. We find that the studied ET...
Article
We compute the value of fiscal multipliers (for government primary expenditure, Income and wealth taxes and for Production and import taxes) in the Eurozone countries since the creation of the currency union (2000Q1-2016Q4), in order to understand how the values can vary according to the public debt level, the pace of economic growth, and the outpu...
Article
We study the fiscal consequences of deflation on a panel of 17 economies in the first wave of globalization, between 1870 and 1914. By means of impulse response analyses and panel regressions, we find that a 1% fall in the price level is associated with an increase in the public debt ratio of about 0.23–0.33 percentage points and accounting for tra...
Article
Using a panel of 54 countries between 1980 and 2013, we find empirical support for the view that changes in the fiscal policy stance (year-on-year change in the cyclically adjusted primary balance) have a significant positive correlation with inflation volatility. An increase in the volatility of discretionary fiscal policies by one standard deviat...
Article
Estudiamos los efectos de la política monetaria de la zona del euro en los sectores institucionales en Portugal durante el período 2000:4 2015:4. Nuestros resultados muestran que la política monetaria única afectó a unas variables que son sustitutos de la financiación de cada sector institucional de la economía: las administraciones públicas, otras...
Technical Report
Full-text available
The Portuguese Public Finance Council (CFP) was created in 2011 as part of a package of reforms to strengthen long-term fiscal sustainability and budget management in Portugal. This OECD review, commissioned at the Council’s initiative, comes towards the end of the term of its first leader. The reviewers found that in a relatively short period of...
Article
Full-text available
In this paper, we decompose the current account (CA) balance in 19 Euro area countries into cyclical and non-cyclical components. For the period 1999:Q1 to 2015:Q4, we compute income elasticities of imports and of exports via an alternative novel and improved approach by running time-varying coefficient models country-by-country. Then, in a panel s...
Article
Full-text available
Using a panel data set of the 28 EU countries from 1970 to 2015, we study the nature of monetary and fiscal policies of both respective authorities, and assess how economic and institutional events influence each authority’s reaction functions. Our results show that inflation has a significant impact on monetary policy, and that governments raise t...
Article
Full-text available
We assess the effect of fiscal rules on sovereign bond spreads 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 sovereign yield spreads is negative and statistically significant, of...
Article
We compute stock-flow adjustments (SFA) using sovereign balance sheet developments, and assess their effects on short and long-term interest rates for 14 European countries between 1970 and 2015, in a panel and SUR analysis. We find that an increase in SFA reduces long- and short-term interest rates, with higher reductions for short-term rates. Fur...
Article
We assess the determinants of sovereign bond yield spreads in the period 1999:01–2016:07, considering non-conventional monetary policy measures in the Euro area. We use a 2-step approach to: (i) confirm and estimate the determinants of sovereign bond yield spreads; (ii) compute bivariate time-varying coefficient (TVC) models of each determinant and...
Research
Full-text available
In the present empirical analysis, we try to assess the impact of taxation on investment growth. In particular, and by using gross fixed capital formation as a proxy for investment, we intend to evaluate the impact of the taxation structure in investment dynamics, in a short and a long-run perspectives. This empirical exercise was conducted for all...
Technical Report
Full-text available
In the present empirical analysis, we try to assess the impact of taxation on investment growth. In particular, and by using gross fixed capital formation as a proxy for investment, we intend to evaluate the impact of the taxation structure in investment dynamics, in a short and a long-run perspectives. This empirical exercise was conducted for all...
Article
We use a SVAR approach to the effects of fiscal and monetary policies, as well as their interactions (policy mix) for the US and the Euro Area (EMU). Overall, our results show that these two cases are different from each other. First, while in the case of the US there is evidence of Keynesian monetary policy, the same is not true in the case of the...
Article
We assess the sustainability of the current account (CA) balance, net international investment position (NIIP) and net external debt (NED) in a sample of 22 EU countries using two complementary approaches. First, we employ time‐series stationarity tests of current account balance‐to‐GDP ratios as well as cointegration tests of exports and imports o...
Poster
Full-text available
We compute the value of fiscal multipliers (for government primary expenditure, Income and wealth taxes and for Production and import ones) in the Eurozone countries since the creation of the currency union (2001Q1-2016Q4), and to understand how the values may vary according to the public debt level, the rhythm of economic growth and the output gap...
Article
Full-text available
We study the factors behind ratings mismatches in sovereign credit ratings from different agencies, for the period 1980‑‑2015. Using random effects ordered and simple probit approaches, we find that structural balances and the existence of a default in the last ten years were the least significant variables. In addition, the level of net debt, budg...
Conference Paper
The aim of this paper is to study the relationship between economic growth and the main determinants of financial development in The Organisation for Economic Co-operation and Development (OECD) countries during the period 1990-2016, paying special attention to the recent economic crisis. Using a random effects model, we provide empirical evidence...
Conference Paper
Full-text available
This paper revisits the relationship between economic growth and the main determinants of financial development in The Organisation for Economic Co-operation and Development (OECD) countries during the period 1990-2016, paying special attention to the recent economic crisis. Using a random effects model, we provide empirical evidence of different a...
Research
Full-text available
Using a panel of eight large emerging market economies from 1980 to 2015, this paper seeks to assess the causal linkages between government size, unemployment, and inflation. Overall, our results suggest that the government size is positively associated with both unemployment and inflation. The Granger causality runs from the government size to une...
Research Proposal
Full-text available
Using a panel of eight large emerging market economies from 1980 to 2015, this paper seeks to assess the causal linkages between government size, unemployment, and inflation. Overall, our results suggest that the government size is positively associated with both unemployment and inflation. The Granger causality runs from the government size to une...
Article
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 to determine shifts in the pricing regime characterisin...
Technical Report
Full-text available
We revisit the twin deficit relationship for a sample of 193 countries over the period 1980-2016, using a panel fixed effect (within-group) estimator, bias-corrected least-squares dummy variable, system GMM, and common correlated effects pooled estimation procedures. The analysis accounts also for the existence of fiscal rules in place, their featu...
Article
Full-text available
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 regimes. More specifically we employ a quarterly dataset,...
Article
We study the macroeconomic effects of public and private investment in 17 OECD economies through a VAR analysis with annual data from 1960 to 2014. From impulse response functions we find that public investment had a positive growth effect in most countries, and a contractionary effect in Finland, UK, Sweden, Japan, and Canada. Public investment le...
Article
We assess the determinants of long-term sovereign yield spreads, vis-à-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 th...
Article
We revisit the relationship between economic growth and financial development in OECD countries during the period 1990-2016, paying special attention to the recent economic crisis. Using a random effects model, we find that an increase in domestic credit provided by the financial-sector, in market capitalization and in the turnover ratio of domesti...
Article
We compute time-varying responses of the sovereign debt ratio to primary budget balances for 13 advanced economies between 1980 and 2012, and assess how fiscal sustainability reacts to different characteristics of government debt. We find that the sustainability time-varying coefficient increases and countries become more fiscally sustainable if th...