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Browsing Artigos em revistas indexadas by Author "Alberta Oliveira, Maria"
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- Determinants of credit default swaps implied ratings during the crisis: was sovereign risk mispriced?Publication . Alberta Oliveira, Maria; Santos, CarlosThis paper addresses the question of whether sovereign risk pricing was related to macroeconomic fundamentals, between 2007 and 2015, in a sample of OECD countries. The authors argue that the conflicting evidence in the literature is due to poor methodology options. The researchers innovate by modelling sovereign credit default swaps implied ratings as our sovereign risk proxy, instead of spreads, avoiding common pitfalls. Furthermore, the authors improve the variable selection, model specification and the econometric procedures used. A panel ordered probit model is chosen, assuring robust inference. The authors relax the parallel lines assumption, allowing for rating-varying coefficients of explanatory variables. The result is the first congruent model of sovereign risk during the years of the financial crisis and of the Euro Area crisis. Fiscal space variables, economic activity indicators, variables pertaining to external imbalances, and contagion proxies are relevant, with effects matching theory priors. The scientists clarify conundrums in the previous literature, posed by lack of significance of some macro fundamentals and by puzzling signs of some estimated coefficients. Moreover, this is the first paper to estimate not only the global risk premium, but also the impact of changing risk aversion. The authors find no support for claims of sovereign risk mispricing during the sample period. The results allow relevant policy conclusions, namely concerning the validity of different fiscal consolidation paths in financially distressed countries.
- 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 . Alberta Oliveira, Maria; 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 dataconsistent, 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 meanvariance terms, when compared to equity.