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Debt dynamics in Europe: a network general equilibrium GVAR approach

Michaelides, Panayotis G., 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

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Identification Number: 10.1016/j.jedc.2018.01.047

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: Article
Official URL: https://www.sciencedirect.com/journal/journal-of-e...
Additional Information: © 2018 Elsevier B.V.
Divisions: International History
Systemic Risk Centre
Subjects: H Social Sciences > HB Economic Theory
H Social Sciences > HG Finance
JEL classification: E - Macroeconomics and Monetary Economics > E1 - General Aggregative Models
O - Economic Development, Technological Change, and Growth > O5 - Economywide Country Studies
Sets: Departments > International History
Research centres and groups > Systemic Risk Centre
Collections > Economists Online
Date Deposited: 26 Feb 2018 12:55
Last Modified: 20 Feb 2019 06:42
URI: http://eprints.lse.ac.uk/id/eprint/86865

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