Debt dynamics in Europe: a network general equilibrium GVAR approach

Panayotis Michaelides, Mike Tsionas and Konstantinos Konstantakis

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: In this work, we investigate the dynamic interdependencies among the EU12 economies using a competitive general equilibrium network system representation. Additionally, using Bayesian techniques, we estimate the autoregressive scheme that characterizes the equilibrium price system of the network, while characterizing each economy/node in the universe of our network in terms of its degree of pervasiveness. In this context, we unveil the dominant(s) unit(s) in our model and estimate the dynamic linkages between the economies/nodes. Lastly, in terms of robustness analysis, we compare the findings of the degree pervasiveness of each economy against other popular quantitative methods in the literature. According to our findings, the economy of Germany acts as weakly dominant entity in the EU12 economy. Meanwhile, all shocks die out in the short run, without any long lasting effect.

Keywords: Bayesian; GVAR; Crisis; Transmission; Debt; EU12 (search for similar items in EconPapers)
JEL-codes: E1 O5 (search for similar items in EconPapers)
Date: 2018-08-01
New Economics Papers: this item is included in nep-mac and nep-net
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Citations: View citations in EconPapers (5)

Published in Journal of Economic Dynamics and Control, 1, August, 2018, 93, pp. 175-202. ISSN: 0165-1889

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Related works:
Journal Article: Debt dynamics in Europe: A Network General Equilibrium GVAR approach (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:86865

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