Baumöhl, Eduard and Výrost, Tomáš and Lyócsa, Štefan (2011): Are we able to capture the EU debt crisis? Evidence from PIIGGS countries in panel unit root framework. Published in: Theoretical and Practical Aspects of Public Finance, XVIth International Conference, Department of Public Finance of the University of Economics in Prague (8. April 2011)
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We assess the issue of fiscal sustainability in the selected EU countries. Our sample includes those showing the highest government debts, which are nowadays known under the somewhat degrading acronym – PIIGGS (Portugal, Ireland, Italy, Greece, Great Britain and Spain). Assuming the so-called present value borrowing constraint, stationarity of debts presents a sufficient condition for fiscal sustainability. Utilizing various standard panel unit root tests and the test by Im et al. (2010), we examine this condition on quarterly debt-to-GDP ratios over the period 2000 to 2010. Results provide evidence, that when trend breaks in the series are incorporated, not all of these countries exhibit non-stationarity behavior of their debt-to-GDP ratios.
|Item Type:||MPRA Paper|
|Original Title:||Are we able to capture the EU debt crisis? Evidence from PIIGGS countries in panel unit root framework|
|Keywords:||Fiscal sustainability, Government debt, Panel unit-root tests|
|Subjects:||H - Public Economics > H6 - National Budget, Deficit, and Debt > H62 - Deficit ; Surplus
E - Macroeconomics and Monetary Economics > E6 - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook > E62 - Fiscal Policy
C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models
H - Public Economics > H6 - National Budget, Deficit, and Debt > H63 - Debt ; Debt Management ; Sovereign Debt
|Depositing User:||Eduard Baumöhl|
|Date Deposited:||24. Apr 2011 13:02|
|Last Modified:||14. Feb 2013 10:47|
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