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Public debt determinants: A time-varying analysis of core and peripheral Euro area countries

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  • Di Serio, Mario

Abstract

This study employs a Bayesian Interacted Panel VAR model to estimate time-varying Generalized Forecast Error Variance Decomposition, analyzing how key determinants affect debt in Core and Peripheral Euro Area countries. Results highlight varying effects of determinants across periods and subgroups.

Suggested Citation

  • Di Serio, Mario, 2024. "Public debt determinants: A time-varying analysis of core and peripheral Euro area countries," Finance Research Letters, Elsevier, vol. 69(PA).
    • Handle: RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011309
    DOI: 10.1016/j.frl.2024.106101
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    More about this item

    Keywords

    Euro area public debt; Public debt determinants; Time-varying generalized forecast error variance decomposition; Bayesian Interacted panel VAR model;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G01 - Financial Economics - - General - - - Financial Crises

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