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
1_s2.0_S0165188918300691_main.pdf - Accepted Version
Available under License Creative Commons Attribution-NonCommercial-NoDerivs.
Download (4MB)
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.