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- The budgeting of Portuguese public museums: a dynamic panel data approachPublication . Oliveira, Maria Alberta; Coelho, João; Santos, CarlosIn this paper, the first panel on sources of funding for Portuguese publicly owned museums is explored. There has been little work in this field worldwide, and none for Portugal. Evidence in this paper seems contrary to that relating to the UK and to the US. We find that incremental budgeting still plays a major role on the funding of Portuguese museums, allowing for inefficient management and moral hazard: the interests of museums’ management may diverge clearly from those of the authorities ruling them and from those of the general public. We also find that the ability to generate their own revenues plays no role in the funding allocated to museums every year. Budgeting is mainly determined by past operating costs. Policy changes seem to be advisable. The scarce relevance of museum patronage by the private sector makes a discussion of possible crowding out effects irrelevant in the current Portuguese context.
- Market exuberance in sovereign credit default swaps: assessing the EU regulatory framework and trading profit opportunitiesPublication . Oliveira, Maria Alberta; Santos, CarlosSovereign credit default swaps (SCDSs) have been at the core of the Euro Area (EA) debt crisis, particularly in its periphery. Both EU politicians and a wide range of EU academics have asked for tighter regulation of these over-the-counter (OTC) derivatives, following similar pressures to the ones that had resulted from the 2008 financial crisis for corporate reference entities. As such, the SCDSs regulatory framework experienced a number of changes from 2009 to 2014, in the EU. This paper provides a seminal assessment on whether these new rules have succeeded in preventing SCDSs exuberance episodes in the EU. Using daily data for 5 years maturity Greek SCDSs, comprising the period between the latest regulatory reform, in September 2014, and mid-March 2015, we find clear evidence of explosive behavior in SCDSs spreads, and even in upfront quotes. The authors take advantage of the new Phillips et al. (2015a, 2015b) test for multiple exuberance episodes, which had rarely been used in derivatives markets, and conduct an event study to conclude that Greek elections, in early 2015, and the associated turmoil has led to a surge in momentum trading, with significant potential returns for SCDSs buyers. The regulatory measures aiming at deleveraging these markets, standardizing contracts, and dissociating sovereign and banking risk, do not seem to have achieved their purposes, as the political and financial anxiety in Greece, starting in December 2014, has led to explosive behavior episodes in the market for Greek SCDSs, of the type regulators had tried to avoid.
- Assessing French inflation persistence with impulse saturation break tests and automatic general-to-specific modellingPublication . Santos, Carlos; Oliveira, Maria AlbertaThis article has three different motivations. Firstly, we wish to contribute to the debate on whether French inflation has been persistent since the mid-eighties. Empirical evidence in this domain has been mixed. We use the standard method of testing for breaks in the mean of the inflation series to conclude whether possible unit root findings are the result of neglected breaks. Then, we build standard autoregressive representations of inflation, using an automatic general-to-specific approach. We conclude against inflation persistence in the sample period, and the point estimates of persistence we obtain are several percentage points below those achieved with other break tests and model selection methods. Moreover, our final model is congruent. Secondly, we provide the first empirical application of the new impulse saturation break test. The resulting estimates of the break dates are in line with other literature findings and have a sound economic meaning, confirming the good performance the test had revealed in theoretical and simulation studies. Finally, we also illustrate the shortcomings of the Bai–Perron test when applied to a small sample with high serial correlation. Indeed, we show the Bai–Perron break dates’ estimates would not allow us to build a congruent autoregressive representation of inflation.
- Sovereign CDS contagion in the European Union: a multivariate GARCH-in-variables analysis of volatility spill-oversPublication . Oliveira, Maria Alberta; Santos, CarlosGARCH-with-variables model is used to assess volatility contagion in the Eurozone Debt Crisis. Credit Default Swaps on sovereign debt with 3 years maturity are used as a reference financial instrument, covering the sample period from 2008-2013. Daily data on Credit Default Swaps is used. We conclude that there is strong statistical evidence of volatility contagion in CDS spreads from the Eurozone periphery to its core. However, the direction of contagion is contingent on the periphery and core countries being assessed. As such, German 3 year CDS on sovereign debt mean equation is to vulnerable to Portuguese and to Greek CDS volatility, whilst German sovereign CDS volatility is vulnerable to greek one day lagged sovereign volatility. Differently, France’s sovereign debt Credit Default Swaps are only exposed to Spanish and Italian sovereign CDS in the mean equation. Exposure to greek lagged one day volatility exists as well.
- A volatility-based approach to gold as a safe haven: can it explain the abnormalities in gold returns during periods of extreme financial adversity?Publication . Oliveira, Maria Alberta; Santos, CarlosIn this paper, the authors provide an explanation of the abnormal behavior of gold returns between the 1st of January 2008 and the 31st of December 2013. The authors suggest a behavioral finance foundation to the fact that gold returns exceed those of a wide range of other assets over this period. The approach rests on the safe haven (SH) motif for flights to gold during heavy financial stress periods. The prevailing Baur-Lucey-McDermott paradigm on gold as a SH is shown to be insufficient, as it ignores the roles of volatility and risk preferences. The auhors suggest a formal SH definition, recovering those elements from behavioral finance. Contrary to the previous paradigm, the approach is data-consistent, in the sample period. The authors find that gold is a SH for all stock markets considered, some exchange rates, and even Euro Area sovereign bonds (including German bunds). They estimate the SH risk premium in all cases. The authors find that investors perceive the distinction between good and bad volatility, and that they do not ask for excess returns when gold volatility is high for SH reasons. This is consistent with the literature on the low frequency of idiosyncratic shocks in the gold market. Furthermore, the authors find evidence that, in a period of high financial uncertainty, fund managers building portfolios consisting only of gold might be acting rationally, contrary to the finance common sense for normal periods. In fact, in the sample period, gold is even strictly dominant in mean-variance terms, when compared to equity.
- The budgeting of portuguese public museums: a dynamic panel data approachPublication . Oliveira, Maria Alberta; Coelho, João; Santos, CarlosIn this paper, the first panel on sources of funding for Portuguese publicly owned museums is explored. There has been little work in this field worldwide, and none for Portugal. Evidence in this paper seems contrary to that relating to the UK and to the US. We find that incremental budgeting still plays a major role on the funding of Portuguese museums, allowing for inefficient management and moral hazard: the interests of museums’ management may diverge clearly from those of the authorities ruling them and from those of the general public. We also find that the ability to generate their own revenues plays no role in the funding allocated to museums every year. Budgeting is mainly determined by past operating costs. Policy changes seem to be advisable. The scarce relevance of museum patronage by the private sector makes a discussion of possible crowding out effects irrelevant in the current Portuguese context.
- Looking for a change point in French monetary policy in the early eightiesPublication . Santos, Carlos; Oliveira, Maria AlbertaWe investigate where, in the early eighties, did a change occur in French monetary policy. The novelty in our treatment of this subject is the use of the impulse saturation break test. The results clearly identify the adoption of the Franc Fort policy as the key change in the period. The resulting econometric model is congruent and reveals no signs of persistence in inflation.