Munich Personal RePEc Archive

Debt Crisis in Europe (2001-2015): A Network General Equilibrium GVAR approach

Michaelides, Panayotis G. and Tsionas, Efthymios G. and Konstantakis, Konstantinos N. (2018): Debt Crisis in Europe (2001-2015): A Network General Equilibrium GVAR approach.

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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.

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