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    Rights statement: 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

    Accepted author manuscript, 3.85 MB, PDF document

    Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

  • Network GE 7-12-2017 REVISED

    Rights statement: 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

    Accepted author manuscript, 2.03 MB, PDF document

    Available under license: CC BY-NC-ND: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License

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Debt Dynamics in Europe: A Network General Equilibrium GVAR Approach

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Debt Dynamics in Europe : A Network General Equilibrium GVAR Approach. / Michaelides, Panayotis G.; Tsionas, Efthymios G.; Konstantakis, Konstantinos N.

In: Journal of Economic Dynamics and Control, Vol. 93, 08.2018, p. 175-202.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Michaelides, PG, Tsionas, EG & Konstantakis, KN 2018, 'Debt Dynamics in Europe: A Network General Equilibrium GVAR Approach', Journal of Economic Dynamics and Control, vol. 93, pp. 175-202. https://doi.org/10.1016/j.jedc.2018.01.047

APA

Michaelides, P. G., Tsionas, E. G., & Konstantakis, K. N. (2018). Debt Dynamics in Europe: A Network General Equilibrium GVAR Approach. Journal of Economic Dynamics and Control, 93, 175-202. https://doi.org/10.1016/j.jedc.2018.01.047

Vancouver

Michaelides PG, Tsionas EG, Konstantakis KN. Debt Dynamics in Europe: A Network General Equilibrium GVAR Approach. Journal of Economic Dynamics and Control. 2018 Aug;93:175-202. https://doi.org/10.1016/j.jedc.2018.01.047

Author

Michaelides, Panayotis G. ; Tsionas, Efthymios G. ; Konstantakis, Konstantinos N. / Debt Dynamics in Europe : A Network General Equilibrium GVAR Approach. In: Journal of Economic Dynamics and Control. 2018 ; Vol. 93. pp. 175-202.

Bibtex

@article{30ea954f812e465395a4539b5148a5a3,
title = "Debt Dynamics in Europe: A Network General Equilibrium GVAR Approach",
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",
author = "Michaelides, {Panayotis G.} and Tsionas, {Efthymios G.} and Konstantakis, {Konstantinos N.}",
note = "This is the author{\textquoteright}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",
year = "2018",
month = aug,
doi = "10.1016/j.jedc.2018.01.047",
language = "English",
volume = "93",
pages = "175--202",
journal = "Journal of Economic Dynamics and Control",
issn = "0165-1889",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Debt Dynamics in Europe

T2 - A Network General Equilibrium GVAR Approach

AU - Michaelides, Panayotis G.

AU - Tsionas, Efthymios G.

AU - Konstantakis, Konstantinos N.

N1 - 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

PY - 2018/8

Y1 - 2018/8

N2 - 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.

AB - 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.

KW - Bayesian

KW - GVAR

KW - Crisis

KW - Transmission

KW - Debt

KW - EU12

U2 - 10.1016/j.jedc.2018.01.047

DO - 10.1016/j.jedc.2018.01.047

M3 - Journal article

VL - 93

SP - 175

EP - 202

JO - Journal of Economic Dynamics and Control

JF - Journal of Economic Dynamics and Control

SN - 0165-1889

ER -