Abreu, Margarida; Mendes, Victor
We investigate the hypothesis that the same investors trade differently in different financial markets. We use a proprietary data base with the transaction records of 129,461 investors for a 10‐year period, and select the investors holding both stocks and warrants in the portfolio. We compare the trading behavior of investors in the stock market and in the warrant market, controlling for investors’ socio‐demographic characteristics (age, occupation, education, etc.) and for investors’ behavioral biases (overconfidence, the disposition effect and pursuit of the pleasure of gambling). Even though investors are the same in both markets, our results clearly show that the sociodemographic...
Abreu, Margarida; Mendes, Victor
Structured retail products (SRP) are one of the most visible faces of financial innovation and are becoming increasingly popular amongst retail investors. However, there is strong consensus that retail investors’ preference for structured products is difficult to explain using the standard rational theory, those products being in general sold at a significant premium. Studying the actual trading behavior of individual investors we provide evidence consistent with the view that SRP likely offer value to some informed investors compared to other products, that product complexity is a way to complete markets and that SRP allow investors to access segments otherwise not...
Based on the actual trading behavior of individual investors in the Portuguese financial market during almost ten years this paper examines the socio‐demographic characteristics of retail investors in warrants, and discusses the hypothesis that some behavioral biases do have an impact on the investors’ predisposition to invest and trade in warrants, a complex financial instrument. One finds that there is a profile of investors in warrants: younger and less educated men are more likely to invest in warrants and that overconfident, disposition‐prone and investors exhibiting a gambling attitude are more likely to invest and trade in warrants. Secondly, the gambling...
Martínez-Galán, Enrique; Fontoura, Maria Paula
This paper addresses the relation between international trade and employment in Portugal with regard to the labour content of trade in intermediates. It considers both the overall level of employment and labour disaggregated by skills (high-skill, medium-skill and low-skill). The assessment makes use of the newly developed internationally linked inputoutput (IO) database named World Input-Output Database (WIOD), complemented with the Socio-Economic Accounts (SEA) for skill-types of labour. The period analysed – 1995-2009 - is the longest possible taking into account the two databases used. The amount of labour required to produce imported intermediates (exported intermediates) is taken as a proxy...
Afonso, António; Silva, Jorge
We study the effects of the euro area monetary policy on the institutional sectors in Portugal during the period 2000:4-2015:4. Our results show that the single monetary policy affected some variables that are proxies for the funding of each institutional sector of the economy: general government, other monetary financial institutions, non-financial corporations, households and the external sector. The period of the economic and financial adjustment programme influenced all institutional sectors, and financial integration in the euro area had an effect on the funding for the economy: there was a reduction of long term-to-GDP ratio, external funding to the Portuguese other...
Afonso, António; Leão, Emanuel Reis; Tiny, Dilson; Bhimjee, Diptes C. P.
The Global Financial Crisis has typically led to a significant widening of fiscal positions (i.e., higher budget deficits and public debt). We address the sustainability of public finances in Portuguese-speaking African countries (PALOP), through adequate econometric testing. Our findings for the period 1975-2015 suggest that most of the PALOP have compromised the sustainability of their corresponding fiscal positions, leading these economies to be set on unsustainable public finance trajectories.
Pimentel, Inácia; St.Aubyn, Miguel; Ribeiro, Nuno
In this paper we test the macroeconomic impact of investment in public-private
partnerships, public and private investment in Portugal through a VAR model with four
variables: public and private investment, PPP investment and GDP, to the period 1998-
2013. An assessment of crowding-in / crowding-out effects of investment in PPPs is
carried out. We also proceed to the calculation of macroeconomic rates of return on
investment in PPP, public investment and private investment. The results show that
public and private investment has a positive effect in GDP while investment in PPP
reduces the Portuguese GDP. In what concerns to crowding-in/crowding-out effects an
increase in PPP investment crowds-out both...
Afonso, António; Kazemi, Mina
We assess the determinants of long-term sovereign yield spreads using a panel of 10 Euro
area countries over the period 1999.01–2016.07 notably regarding the ECB (standard and
non-standard) quantitative easing measures. Our findings indicate that the international risk,
the bid-ask spread and real effective exchange rate increased the 10-year sovereign bond
yield spreads. Moreover, quantitative easing, notably Longer-term Refinancing Operations
(LTROs), Targeted LTROs and the Securities Market Program decreased the yield spreads.
Galli, Emma; Rizzo, Ilde; Scaglioni, Carla
In this paper, we aim at evaluating from an economic perspective the recent Italian legislation on
transparency to investigate whether the potentialities of transparency as a tool to improve
performance and integrity are fully exploited. We first construct a synthetic indicator (CTI) consisting
of two sub-indicators, CTI Integrity and CTI Performance, which are able to describe in numerical
terms the overall degree of transparency of Italian public administrations as well as the two different
aspects of the public activity’s transparency. Then, using as a sample of Italian municipalities, we
address the question whether there is a relation between the fulfillment of transparency obligations
and both the institutional...
Afonso, António; Huart, Florence; Jalles, João Tovar; Stanek, Piotr
We assess the sustainability of the current account (CA) balance, net international
investment position (NIIP) and net external debt (NED) in a sample of EU countries using
two complementary approaches. First, we employ both time-series and panel-data
stationarity tests of current account balance-to-GDP ratios as well as cointegration tests
of exports and imports of goods and services. Second, we assess the level of trade balance
that stabilizes the NIIP and the NED. We find that there is sustainability of the CA balance
mainly in a few surplus countries whereas there is more concern about the sustainability
of the NIIP or NED in countries with a credit position...
The impacts of policy measures on transfers between government and households will be quantified using Social Accounting Matrices (SAMs).
The System of National Accounts (SNA) will be the main source used for the construction of the numerical version of these matrices, which will then form the basis for two algebraic versions. One version will consist of accounting multipliers, and structural path analysis will also be used for its decomposition. The other version will be a so-called SAM-based linear model, in which each cell will be defined with a linear equation or system of equations, whose components will be all the known...
In this paper a conceptual reflection is carried out and a practical and methodological guide is provided to the work undertaken with the aim of updating for 2005 a Social Accounting Matrix (SAM) constructed for 2001 as a database for a Computable General Equilibrium (CGE) model for the Azores. The construction of a similar SAM to support an application of the same model for Portugal is also part of that same work.
A top-down approach is adopted, and the study adheres to the principle that databases for national and regional models (namely SAMs) should be consistent with national and regional accounts.
A SAM (Social Accounting Matrix) can be an important tool for measuring a society’s activity, underlying which there are systems that can be worked upon in different ways. This tool will be presented as an alternative support for those who intervene in the policymaking process, which
can be directed towards different parts of those systems. Both numerical and algebraic versions of the SAM will be referred to, while the method to be used in constructing the former from the System of National Accounts (SNA), implemented by the United Nations, will be examined. The SAM’s basic structure and consistency within the whole...
Economic models at the micro, meso and macro levels presuppose the existence of consistent
databases that make it possible to quantify the activity of enterprises, sectors, regions, countries or
continents. Such models can also be important aids in the policy decision process, since they permit
the construction of scenarios resulting from the adoption of policy measures and the consequent
changes that they introduce.
When consistent with the United Nations System of National Accounts (SNA), the Social
Accounting Matrix (SAM) can include all the nominal flows of the measured part of the economy,
at the level of both production and the institutions, and therefore satisfies these requirements. Thus,
In looking for empirical evidence about the activity of countries, a proposal is made for studying (measuring and modelling) the activity of countries through the use of Social Accounting Matrices (SAMs) and Socio-Demographic Matrices (SDMs). SAMs and SDMs are presented as tools that have specific features for conducting studies in several different areas, particularly in the Socio-Economics of Ageing, as well as for supporting policy decision processes.
Based on methodological principles that are derived mainly from the works of Richard Stone, emphasis is placed on the desirability of working in a matrix format, which includes not only people (SDM), but also,...
Social Accounting Matrices (SAMs) will be presented as tools that have specific features for studying
the socio-economic activity of countries. Such features allow for the reading and interpretation of the
reality under study, leading to the production of an empirical work that is not only capable of
highlighting specific aspects of that activity, but also offers the chance to experiment with different
interventions in regard to its functioning. In stating that the knowledge of the socio-economic activity
of countries involves the use of national accounts, emphasis is placed on the desirability of working
in a matrix format, which simultaneously includes activities (or industries), products, factors of
Approaches based on Social Accounting Matrices (SAMs) and Socio-Demographic Matrices (SDMs) will be presented as a way of capturing relevant networks of linkages and the corresponding multiplier effects, which can subsequently be used for modelling the activity of the countries to be studied.
Emphasis will be placed on the activity of household unincorporated enterprises, also known as informal enterprises.
Based on methodological principles derived mainly from the works of Richard Stone, this study will be developed in a matrix format, including, on the one hand, people – represented by a SDM – and, on the other hand, activities, products, factors of production...
Afonso, António; Leal, Frederico Silva
We use a panel of 11 EMU countries in the period 2000-2014 to assess the importance of political and economic determinants as explanatory factors in sovereign bond yield spreads. According to the results, there is evidence that those spread determinants gained importance after the beginning of the financial crisis. Following the crisis, the debt ratio, fiscal balance, expenditure on pension funds, the level of liquidity, GDP growth rate, and structural reforms have become relevant determinants of sovereign spreads, while fiscal rules have reduced spreads.
Alves, José; Pereira, Rita
Since the 2008's nancial crisis authorities have been particularly aware about the necessity of being provided with early warning indicators regarding nancial stability. In fact, the Basel Committee on Banking Supervision suggests the analysis of the difference between the private sector credit-to-GDP ratio and its own long-term trend. For the past two decades Portugal, has witnessed a dramatic indebtedness increase among household. Our objective is to examine the reasons for this increase by analysing the ratio of domestic credit to the private sector to GDP between 1961 and 2011. The main conclusions are the non-suitability of the Basel Committee on...