Debt Dynamics in Europe:A Network General Equilibrium GVAR Approach

Michaelides, Panayotis G. and Tsionas, Efthymios G. and Konstantakis, Konstantinos N. (2018) Debt Dynamics in Europe:A Network General Equilibrium GVAR Approach. Journal of Economic Dynamics and Control, 93. pp. 175-202. ISSN 0165-1889

[img]
Preview
PDF (1-s2.0-S0165188918300691-main)
1_s2.0_S0165188918300691_main.pdf - Accepted Version
Available under License Creative Commons Attribution-NonCommercial-NoDerivs.

Download (4MB)
[img]
Preview
PDF (Network GE 7-12-2017 REVISED)
Network_GE_7_12_2017_REVISED.pdf - Accepted Version
Available under License Creative Commons Attribution-NonCommercial-NoDerivs.

Download (2MB)

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.

Item Type:
Journal Article
Journal or Publication Title:
Journal of Economic Dynamics and Control
Additional Information:
This is the author’s version of a work that was accepted for publication in Journal of Economic Dynamics and Control. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Economic Dynamics and Control, 93, 2018 DOI: 10.1016/j.jedc.2018.01.047
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/asjc/2600/2604
Subjects:
ID Code:
123476
Deposited By:
Deposited On:
16 Feb 2018 10:30
Refereed?:
Yes
Published?:
Published
Last Modified:
18 Sep 2020 04:00