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Representative Publications
Martins, L.F. and Rodrigues, P.M.M. “Tests for segmented cointegration: an application to US governments budgets”, forthcoming at Empirical Economics. (Publisher's Version).
Abstract: There is a growing literature documenting that the persistence of time series may change over time, and as a consequence, shifts in the long-run equilibrium of macroeconomic variables are expected. An important example is the significant increase in public debt in certain periods of time due to increases in government expenditures which are not matched by revenue counterparts. In this paper, new residual-based Wald-type tests are proposed which are designed to detect segmented cointegration, i.e., subsamples during which equilibrium relations exist. We derive the asymptotic properties of the tests, tabulate critical values for models with different deterministic components, and show by simulations that the tests display good finite sample performance in many relevant setups. Our empirical application provides a thorough examination of the main components of US governments’ budgets at two administrative levels (Federal, and State and Local) and concludes that until Bill Clinton’s presidency government budgets components never moved together.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Ferreira-Lopes, A., Linhares, P., Martins, L.F., and Sequeira, T.N. ”Quantitative Easing and Economic Growth in Japan: A Meta-Analysis”, forthcoming at Journal of Economic Surveys. (Publisher's Version).
Abstract: We present an original meta-probit analysis for the effect of the Bank of Japan monetary policy on economic growth for the period 2001–2020, using 45 studies. We use impulse response functions in VAR type models to assess if the effects on output of unconventional monetary policies are significant (positive or negative) or not. Funnel asymmetry and precision effect tests do not provide a striking evidence of publication bias. Additionally, we do not find a consensus regarding the output growth effects during the quantitative easing years. Besides variables linked with the studies’ methodological features, other variables such as industrial production and the price level have a greater effect on the probability of reporting statistically significant (positive) effects of quantitative easing on output growth. However, one of the most important (policy) implications of our study is that the evidence for a significant real effect of unconventional monetary policy is weak.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Martins, L.F. (2021). “The US Debt–Growth Nexus along the Business Cycle”. The North American Journal of Economics and Finance, 58, 101462. (Publisher's Version).
Abstract: We use the US data gathered by Reinhart and Rogoff (2010) to assess whether debt affects economic growth differently at different phases of the business cycle. In order to do that, we extend the threshold regression model of Chudik et al. (2017) and propose a new threshold quantile ARDL regression model. Our results show that to stimulate growth policy makers can manage the debt/GDP percentage according to how well the economy is doing. The estimated quantile thresholds (range 31–53 per cent) are larger than the one found by Lee et al. (2017) using median regressions, but still (much) smaller than the 90 per cent of Reinhart and Rogoff. In particular, when the US economy observes growth rates above their median value, that is when a smaller debt-to-GDP threshold affects the performance of the economy. In a steady-state situation, in general, regardless of the position of the business cycle and whether the debt-to-GDP ratio is below or above its threshold effect, less debt as a percentage of GDP boosts the US growth. Remarkably, this effect was always greater before than after World War II. Moreover, the most recent decades have witnessed the negative (positive) effect of more (less) debt when the economy had growth rates at their first quartile (median and third quartile). That is, the US policy makers are advised to reduce the debt-to-GDP ratio during expansions to promote growth.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Ferreira-Lopes, A., Martins, L.F., and Espanhol, R. (2020). “The Relationship between Tax Rates and Tax Revenues in Eurozone Member Countries - Exploring the Laffer Curve”. Bulletin of Economic Research, 72 (2), 121-145. (Publisher's Version).
Abstract: We estimate Laffer Curves for direct and indirect taxes for each Eurozone country, using panel data from 1995 to 2011, by means of Seemingly Unrelated Regression (SUR) models. We choose the three taxes that contribute the most to the government tax revenue: the value added tax (VAT), the corporate income tax (CT), and the labour income tax (LT). From our estimated significant parameters, which have the expected signs according to the Laffer Curve theory, we obtained a maximum/optimal tax rate for VAT for Greece, Portugal, and Slovakia and for the majority of the Eurozone countries for direct taxes. We also take into consideration the business cycle. Many countries do not present differences in regime, and when they do, the optimal tax rate is higher during recessions. Finally, we compare the observed tax rates in 2012 to the estimated optimal tax rates, to assess if the 2012 policy was located at the prohibitive range of the Laffer Curve. Our results are important for the discussions about fiscal discipline and harmonization in the Eurozone, since they exhibit important disparities between countries and taxes.We can see that, especially for CT and LT, there is a strong divide between the values of the optimal maximum tax rates for Eastern European countries andWestern European economies. Additionally, the economic and financial conditions of each country also influence the value for the tax rate.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Moreira, A. and Martins, L.F. (2020). “A New Mechanism for Anticipating Price Exuberance”. International Review of Economics and Finance, 65, 199-221. (Publisher's Version).
Abstract: It is very important for investors, market regulators, and policy makers to possess a trustworthy ex-ante tool capable of anticipating price exuberance events. This paper proposes a new statistical mechanism to predict speculative bubbles by inferring a significant probability of exuberance at least one step ahead of a bubble peak period. Contrary to other approaches, we combine asset pricing modeling and non-stationarity statistical analysis and use both in the context of adaptive learning to build a dynamic model specification. Monte Carlo simulations show that the ex-ante prediction is improved enormously by adding the estimated abnormal returns into the model. In some cases our mechanism predicts 100% of the last bubbles of the sample up to five periods before the peak. Furthermore, the mechanism is able to successfully anticipate the technological bubble observed in the 1990’s by estimating a probability greater than 90%, one month before the bubble peak. Thus, this new mechanism provides an advantage for investors interested in performing a very profitable “bubble surfing” strategy and for market regulators whose responsibility is to maintain market efficiency.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Martins, L.F., Batista, J., Ferreira-Lopes, A. (2019). “Unconventional Monetary Policies and Bank Credit in the Eurozone: An events study approach”. International Journal of Finance and Economics, 24 (3), 1210-1224. (Publisher's Version).
Abstract: We study the impact of the unconventional monetary policies implemented by the European Central Bank on bank credit to Eurozone general governments and to households. The database is a macro panel of the 19 Eurozone countries over the period between January 2008 and May 2016. Using an events study approach, we create two dummy variables that reflect the timing and changes of unconventional and conventional monetary policy measures, which we use as key determinants in panel regression models. Our results suggest that unconventional monetary policies have a positive lagged impact on bank credit, with much more to general governments (1.2% per month) than to household consumers (0.2%). All other variables in the models, such as the interest rates, the Industrial Production Index, and the inflation rate have the expected estimated signs. Finally, we estimate the unobserved country‐specific fixed effects measured in terms of credit growth rates. The monthly growth rates of loans to households in Ireland are about 0.74% below the average country, which is closely related to its post‐2008 banking crisis. Moreover, the net purchases' impact under the Public Sector Purchase Programme of loans of Monetary Financial Institutions to general governments was much larger for countries that were hit by the financial and economic crisis.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Miller, S.M., Martins, L.F., and Gupta, R. (2019). “A Time-Varying Approach of the U.S. Welfare Cost of Inflation”. Macroeconomic Dynamics, 23 (2), 775-797. (Publisher's Version).
Abstract: Money-demand specifications exhibit instability, especially for long spans of data. This paper reconsiders the welfare cost of inflation for the US economy using a flexible time-varying (TV) cointegration methodology to estimate the money-demand function. We find evidence that the TV cointegration estimation provides a better fit of the actual data than a time-invariant estimation and that the throughout unitary income elasticity only exists for the log–log form over the entire sample period. Our estimate of the welfare cost of inflation for a 10% inflation rate lies in the range of 0.025–0.75% of gross domestic product (GDP) and averages 0.27%. In sum, our findings fall well within the ranges of existing studies of the welfare cost of inflation. We find that the welfare cost averages 7.4% higher during expansions than recessions for 10% inflation rate. Finally, the interest elasticity of money demand shows substantial variability over our sample period.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Silva, M., Martins, L.F., and Lopes, H. (2018). “Asymmetric Labour Market Reforms: Effects on Wage Growth and Conversion Probability of Fixed-Term Contracts”. ILR Review (Industrial and Labor Relations Review), 71 (3), 760-788. (Publisher's Version).
Abstract: The authors investigate the impact of a change in employment protection laws in Portugal that increased the maximum legal duration of fixed-term contracts. They find that this reform led to a reduction in the probability that a worker on a fixed-term contract would be converted to a permanent contract. In addition, those workers who had their contracts converted experienced a significantly higher hourly wage growth at the time of conversion and faced a lower reduction in wage growth during the years in which the changed legislation was in force. Consequently, the implementation of this law led to a 27% increase in the wage-growth differential between the two contracts. The findings are based on an endogenous regime-switching model using rich administrative linked employer–employee data.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Martins, L.F (2018). “Bootstrap Tests for Time Varying Cointegration", Econometric Reviews, 37 (5), 466-483. (Publisher's Version).
Abstract: This article proposes wild and the independent and identically distibuted (i.i.d.) parametric bootstrap implementations of the time-varying cointegration test of Bierens and Martins (2010). The bootstrap statistics and the original likelihood ratio test share the same first-order asymptotic null distribution. Monte Carlo results suggest that the bootstrap approximation to the finite-sample distribution is very accurate, in particular for the wild bootstrap case. The tests are applied to study the purchasing power parity hypothesis for twelve Organisation for Economic Cooperation and Development (OECD) countries and we only find evidence of a constant long-term equilibrium for the U.S.–U.K. relationship.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Martins, L.F., Gan, Y., and Ferreira-Lopes, A. (2017). “An Empirical Analysis of the Influence of Macroeconomic Determinants on World Tourism Demand”. Tourism Management, 61, 248-260. (Publisher's Version).
Abstract: This paper considers three econometric models to determine the relationship between macroeconomic variables and tourism demand. Tourism demand is measured by the inbound visitor's population and also by on-the-ground expenditures. The database is an unbalanced panel of 218 countries over the period 1995–2012. There is evidence that an increase in the World's GDP per capita, a depreciation of the national currency, and a decline of relative domestic prices do help boost tourism demand. The World's GDP per capita is more important when explaining arrivals, but relative prices become more important when we use expenditures as the proxy for tourism demand. We cannot reject the hypothesis of a relative prices unitary elasticity of expenditures. Additionally, we have partitioned our data by income level and by Continent. Results are robust in the first partition, but less robust in the second, although the main conclusions still hold. Finally, we draw policy implications from our findings.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Martins, L.F, and Perron, P. (2016). “Improved Tests for Forecast Comparisons in the Presence of Instabilities”. Journal of Time Series Analysis, 37 (5), 650-659. (Publisher's Version).
Abstract: Of interest is comparing the out‐of‐sample forecasting performance of two competing models in the presence of possible instabilities. To that effect, we suggest using simple structural change tests, sup‐Wald and UDmax for changes in the mean of the loss differences. It is shown that Giacomini and Rossi (2010) tests have undesirable power properties, power that can be low and non‐increasing as the alternative becomes further from the null hypothesis. On the contrary, our statistics are shown to have higher monotonic power, especially the UDmax version. We use their empirical examples to show the practical relevance of the issues raised.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Horta, P., Lagoa, S., and Martins, L.F. (2016). “Unveiling Investor Induced Channels of Financial Contagion in the 2008 Financial Crisis using Copulas”. Quantitative Finance, 16 (4), 625-637. (Publisher's Version).
Abstract: Understanding how financial crises spread is important for policy-makers and regulators in order to take adequate measures to prevent or contain the spread of these crises. This paper will test whether there was contagion of the subprime financial crisis to the European stock markets of the NYSE Euronext group (Belgium, France, the Netherlands and Portugal) and, if evidence of contagion is found, it will determine the investor-induced channels through which the crisis propagated. We will use copula models for this purpose. After assessing whether there is evidence of financial contagion in the stock markets, we will examine whether the ‘wealth constraints’ transmission mechanism prevails over the ‘portfolio rebalancing’ channel. An additional test looks at the interaction between stock and bond markets during the crisis and allows us to determine if the transmission occurred due to the ‘cross market rebalancing’ channel or the ‘flying to quality’ phenomenon. The tests suggest that (i) financial contagion is present in all analyzed stock markets, (ii) a ‘portfolio rebalancing’ channel is the most important crisis transmission mechanism, (iii) and the ‘flight-to-quality’ phenomenon is also present in all analyzed stock markets.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Pires, P., Pereira, J.P., and Martins, L.F. (2015). “The Empirical Determinants of Credit Default Swap Spreads - a Quantile Regression Approach”. European Financial Management, 21 (3), 556-589. (Publisher's Version).
Abstract: We study the empirical determinants of Credit Default Swap (CDS) spreads through quantile regressions. In addition to traditional variables, such as implied volatility, put skew, historical stock return, leverage, profitability, and ratings, the results indicate that CDS premiums are strongly determined by CDS illiquidity costs, measured by absolute bid‐ask spreads. The quantile regression approach reveals that high‐risk firms are more sensitive to changes in the explanatory variables that low‐risk firms. Furthermore, the goodness‐of‐fit of the model increases with CDS premiums, which is consistent with the credit spread puzzle.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Horta, P., Lagoa, S., and Martins, L.F. (2014). “The Impact of the 2008 and 2010 Financial Crises on the Hurst Exponents of International Stock Markets: Implications for Efficiency and Contagion”. International Review of Financial Analysis, 35, 140-153. (Publisher's Version).
Abstract: This study analyzes how the 2008 and 2010 financial crises, which began in the US and Greece respectively, affected the Hurst exponents of index returns of the stock markets of Belgium, France, Greece, Japan, the Netherlands, Portugal, the UK and US. We perform two innovative statistical tests for this purpose. The first assesses whether the returns exhibit a long memory in the pre-crisis and crisis periods and determines the extent to which the Hurst exponents, calculated with the multifractal detrended moving average technique (MFDMA), differ from the tranquil to the crisis periods. The second test uses copula models to assess whether the correlation between the local Hurst exponents of the markets where the crises originated and those of the other markets increased due to the crises. The results of the first test suggest that although most of the returns exhibit a long memory in the 2008 crisis period, this is not the case in either the pre-crisis or the 2010 crisis periods. These findings shed light on the dynamics of market efficiency. The results of the second test show a significant increase in correlation between the local Hurst exponents of several markets, suggesting the existence of financial contagion. We observed that the 2008 crisis had a greater impact on the memory properties of stock returns than the 2010 financial crisis.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Martins, L.F. and Gabriel, V. (2014). “Modelling Long Run Comovements in Equity Markets: A Flexible Approach”. Journal of Banking and Finance, 47, 288-295. (Publisher's Version).
Abstract: International equity markets linkages are characterized by nonlinear dependence and asymmetries. We investigate shifts in long run comovements in stock markets by means of an ‘interrupted’ Markov switching cointegration specification. This flexible approach allow us to study to what extent documented changes in global integration are permanent, or whether market linkages are subject to changes. Using an illustrative sample from 1980 to 2012 for USA, UK and Hong Kong stock price indices, we find evidence of interrupted cointegration across these markets between May 1997 and April 2002, which is consistent with the decoupling of stock prices from fundamentals during the dot-com bubble.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Martins, L.F. and Gabriel, V. (2014). “Linear Instrumental Variables Model Averaging Estimation”. Computational Statistics and Data Analysis, 71, 709-724. (Publisher's Version).
Abstract: Model averaging (MA) estimators in the linear instrumental variables regression framework are considered. The obtaining of weights for averaging across individual estimates by direct smoothing of selection criteria arising from the estimation stage is proposed. This is particularly relevant in applications in which there is a large number of candidate instruments and, therefore, a considerable number of instrument sets arising from different combinations of the available instruments. The asymptotic properties of the estimator are derived under homoskedastic and heteroskedastic errors. A simple Monte Carlo study contrasts the performance of MA procedures with existing instrument selection procedures, showing that MA estimators compare very favorably in many relevant setups. Finally, this method is illustrated with an empirical application to returns to education.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Martins, L.F. and Rodrigues, P.M.M. (2014). “Testing for Persistence Change in Fractionally Integrated Models: An Application to World Inflation Rates”. Computational Statistics and Data Analysis, 76, 502-522. (Publisher's Version).
Abstract: A new approach to detect persistence change in fractionally integrated models based on recursive forward and backward estimation of regression-based Lagrange Multiplier tests is proposed. This procedure generalizes approaches for conventional integrated processes to the fractional integration context. Asymptotic results are derived and the performance of the new tests evaluated in a Monte Carlo exercise. In particular, analytical and simulation results are provided for cases where the order of fractional integration is both known and unknown and needs to be estimated. The finite sample size and power performance of the statistics are encouraging and compare favorably to other recently proposed tests in the literature. The test statistics introduced are also applied to several world inflation rates and evidence of persistence change is found in most series.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Martins, L.F. and Gabriel, V. (2013). “A Note on Cointegration Spaces in Time-Varying Cointegration”. Studies in Nonlinear Dynamics and Econometrics, 17 (2), 199-209. (Publisher's Version).
Abstract: We derive the conditions under which time-varying cointegration leads to cointegration spaces that may be time-invariant or, in contrast, time-varying. The model of interest is a vector error correction model with arbitrary time-varying cointegration parameters. We clarify the role of identification and normalization restrictions and show that structural breaks in error-correction models may actually correspond to stable long-run economic relationships, as opposed to a single-equation setup, in which an identification restriction is imposed. Moreover, we show that, in a time-varying cointegrating relationship with a given number of variables and cointegration rank, there is a minimum number of orthogonal Fourier functions that most likely guarantees time-varying cointegrating spaces.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Martins, L.F. (2013). “Testing for Parameter Constancy Using Chebyshev Time Polynomials”. Manchester School, 81 (4), 586-598. (Publisher's Version).
Abstract: We propose a simple method of testing for parameter constancy in regression models with stationary data that allow for coefficients that vary smoothly over time. The method is shown to have good statistical properties. A sieve bootstrapping procedure is suggested to improve the finite sample size of the test for a large number of time polynomials in autoregressive models. We revisited Hansen's study (Journal of Economic Perspectives , Vol. 15 (2001), pp. 117–128) of structural breaks in a first‐order autoregressive model of labor productivity in the US manufacturing/durables sector and found evidence of time‐varying autoregressive parameter.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Gabriel, V. and Martins, L.F. (2011). “Cointegration Tests Under Multiple Regime Shifts: An Application to the Stock Price--Dividend Relationship”. Empirical Economics, 41 (3), 639-662. (Publisher's Version).
Abstract: We examine the properties of several residual-based cointegration tests when long-run parameters are subject to multiple shifts driven by an unobservable Markov process. Unlike earlier study, which considered one-off deterministic breaks, our approach has the advantage of allowing for an unspecified number of stochastic breaks. We illustrate this issue by exploring the possibility of Markov switching cointegration in the stock price-dividend relationship and showing that this case is empirically relevant. Our subsequent Monte Carlo analysis reveals that standard cointegration tests are generally reliable, their performance often being robust for a number of plausible regime shift parameterizations.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Gabriel, V. and Martins, L.F. (2010). “The Cost Channel Reconsidered: A Comment Using an Identification-Robust Approach”. Journal of Money, Credit and Banking, 42 (8), 1703-1712. (Publisher's Version).
Abstract: We reexamine the empirical relevance of the cost channel of monetary policy (e.g., Ravenna and Walsh 2006), employing recently developed moment‐conditions inference methods, including identification‐robust procedures. Using U.S. data, our results suggest that the cost channel effect is poorly identified and we are thus unable to corroborate the previous results in the literature.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Bierens, H. and Martins, L.F. (2010). “Time Varying Cointegration”. Econometric Theory, 26 (5), 1453-1490. (Publisher's Version).
Abstract: In this paper we propose a time-varying vector error correction model in which the cointegrating relationship varies smoothly over time. The Johansen setup is a special case of our model. A likelihood ratio test for time-invariant cointegration is defined and its asymptotic chi-square distribution is derived. We apply our test to the purchasing power parity hypothesis of international prices and nominal exchange rates, and we find evidence of time-varying cointegration.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Martins, L.F. and Gabriel, V. (2009). “New Keynesian Phillips Curves and Potential Identification Failures: a Generalized Empirical Likelihood Analysis”. Journal of Macroeconomics, 31 (4), 561-571. (Publisher's Version).
Abstract: In this paper, we examine parameter identification in the hybrid specification of the New Keynesian Phillips Curve proposed by Gali and Gertler [Gali, J., Gertler, M., 1999. Inflation dynamics: a structural econometric analysis. Journal of Monetary Economics 44, 195–222]. We employ recently developed moment conditions inference procedures, which provide a more efficient and reliable econometric framework for the analysis of the NKPC. In particular, we address the issue of parameter identification, obtaining robust confidence sets for the model’s parameters. Our results cast serious doubts on the empirical validity of the NKPC.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Martins, L.F. (2009). “Nonparametric Unit Root Tests and Dramatic Shifts with Infinite Variance Processes”. Journal of Applied Statistics, 36 (5), 547-571. (Publisher's Version).
Abstract: A model which explains data that is subject to sudden structural changes of unspecified nature is presented. The structural shifts are generated by a random walk component whose innovations belong to the normal domain of attraction of a symmetric stable law. To test the model against the stationarity case, several non-parametric, and regression-based statistics are studied. The non-parametric tests are a generalization of the variance ratio test to innovations with heavy-tailed distributions. The tests are consistent and shown to have good finite sample size and power properties and are applied to a set of economic variables.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
Gabriel, V. and Martins, L.F. (2004). “On the Forecasting Ability of ARFIMA Models when Infrequent Breaks Occur”. Econometrics Journal, 7 (2), 455-475. (Publisher's Version).
Abstract: Recent research has focused on the links between long memory and structural breaks, stressing the memory properties that may arise in models with parameter changes. In this paper, we question the implications of this result for forecasting. We contribute to this research by comparing the forecasting abilities of long memory and Markov switching models. Two approaches are employed: the Monte Carlo study and an empirical comparison, using the quarterly Consumer Price inflation rate in Portugal in the period 1968–1998. Although long memory models may capture some in‐sample features of the data, we find that their forecasting performance is relatively poor when shifts occur in the series, compared to simple linear and Markov switching models.
(Replication files) (Supplementary appendix) (Working paper) (Slides)
More Research
Papers
Estrada, F., Martins, L.F, and Perron, P. (2017). “Characterizing and attributing the warming trend in sea and land surface temperatures”. Atmósfera, 30 (2), 163-187. (Publisher's Version).
Sousa, C., Roseta-Palma, C., and Martins, L.F. (2015), “Economic Growth and Transport: On the Road to Sustainability”. Natural Resources Forum, 39 (1), 3-14. (Publisher's Version).
Gualberti, G., Martins, L.F. and Bazilian, M. (2014). “An Econometric Analysis of the Effectiveness of Development Finance for the Energy Sector”. Energy for Sustainable Development, 18, 16-27. (Publisher's Version).
Monograph
Martins, L.F. (2007). “Structural Changes in Nonstationary Time Series Econometrics: Time Varying Cointegration and Modeling Catastrophic Events,” VDM Verlag. ISBN: 978-3-8364-3427-0. (2012 by AV Akademikerverlag ISBN-13: 978-3639425130). (Link).
Working Papers
Martins, L.F. (2011). “Moment Conditions Model Averaging with an Application to a Forward-Looking Monetary Policy Reaction Function”. Working paper 16/2011, Economic Research Department, Banco de Portugal.
Gabriel, V. and Martins, L.F. (2000). “Integer and Fractional Cointegration of Exchange Rates - The Portuguese Case”. NIPE WP 1/2000, University of Minho.
Gabriel, V. and Martins, L.F. (2000). “The Properties of Cointegration Tests in Models with Structural Changes”. NIPE WP 1/2000, University of Minho.
Whom I am Proud Of ...
... my former masters students and the work they did for their thesis and my colleagues coadvisors, especially Alexandra Ferreira-Lopes:
Pedro Linhares (Economics 2018): ”Quantitative Easing and Economic Growth in Japan: A Meta-Analysis”, Journal of Economic Survey (forthcoming)
Ruben Espanhol (Economics 2014): “The Relationship between Tax Rates and Tax Revenues in Eurozone Member Countries - Exploring the Laffer Curve”. Bulletin of Economic Research (2020)
Afonso Moreira (Economics 2015): “A New Mechanism for Anticipating Price Exuberance”. International Review of Economics and Finance (2020)
Joana Batista (Finance 2016): “Unconventional Monetary Policies and Bank Credit in the Eurozone: An events study approach”. International Journal of Finance and Economics (2019)
Yi Gan (Management 2015). “An Empirical Analysis of the Influence of Macroeconomic Determinants on World Tourism Demand”. Tourism Management (2017)
Pedro Pires (Finance 2008). “The Empirical Determinants of Credit Default Swap Spreads - a Quantile Regression Approach”. European Financial Management (2015)
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