REM – Artigos em Revistas Nacionais / Articles in Portuguese Journals
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- Fiscal sustainability in the PALOP EconomiesPublication . 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), an issue that has been addressed by many re-searches on fiscal sustainability. Our aim in this study is to extend the extensive knowledge about fiscal policy sustainability in advanced economies by analysing the sustainability in the African continent. In particular, we examine the sustainability of public finance in Portuguese-speaking African countries (PALOP), using stationarity tests of external public debt-to-GDP ratios and cointegration tests between public revenue and public expenditure (as a percentage of GDP). Our findings for the period 1975-2019 suggest that some of the PALOP countries have endangered the sustainability of their corresponding fiscal positions. In fact, in our sample the solvency requirement seems to have been met only by Angola. In the context of a financial crisis, stemming from the COVID-19 pandemic, such sustainability issues are bound to be further challenged
- Exchange-traded funds as an alternative investment optionPublication . Afonso, António; Cardoso, PedroWe 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 ETF does not always outperform index funds in replicating the variations of the PSI 20 index, despite exhibiting better tracking ability when facing downside deviations of the benchmark and a better capacity of smoothing tracking deviations. Regarding ETFs price efficiency and its persistence, the study reveals that the examined ETF is priced at a low average discount with evidence of deviations persistence of at least two days. The investment schemes with the highest ability to track the PSI 20 Index were PSI20 (ETF), BBVA PPA Índice PSI20, and the equity mutual fund BPI Portugal.
- Optimal reinsurance of dependent risksPublication . Moura, A. Bugalho de; Centeno, M. de LourdesWe analyse the problem of nding the optimal combination of quota-share and stop loss treaties, maximizing the expected utility or the adjustment coecient of the ce- dent, for each of two risks dependent through a copula structure. By risk we mean a line of business or a portfolio of policies. Results are obtained numerically, using the software Mathematica. Sensitivity of the optimal reinsurance strategy to several factors are investigated, including: i) the dependence level, by means of the Kendall's tau and the dependence parameter; ii) the type of dependence, using dierent copulas describing dierent tail behaviour; iii) the reinsurance calculation principles, where expected value, variance and standard deviation principles are considered. Results show that dierent dependence structures, yield signicantly dierent optimal solu- tions. The optimal treaty is also very sensible to the reinsurance premium calculation principle. Namely, for variance related premiums the optimal solution is not the pure stop loss. In general, the maximum adjustment coecient decreases when dependence increases..