Government debt in the euro area—Evidence from dynamic factor analysis
AbstractThis paper shows that an unobserved common factor drives the co-movement of government debt in the euro area. The old-age dependency ratio explains the factor after controlling for the Maastricht Treaty, the adoption of the euro, and the ongoing crisis.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 115 (2012)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/locate/ecolet
Government debt; Dynamic factor model; Old-age dependency ratio;
Find related papers by JEL classification:
- H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Longitudinal Data; Spatial Time Series
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Checherita-Westphal, Cristina & Rother, Philipp, 2010. "The impact of high and growing government debt on economic growth: an empirical investigation for the euro area," Working Paper Series 1237, European Central Bank.
- Mario J. Crucini & M. Ayhan Kose & Christopher Otrok, 2008.
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Vanderbilt University Department of Economics Working Papers
0815, Vanderbilt University Department of Economics.
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- Christopher Otrok & Ayhan Kose & Mario J. Crucini, 2009. "What are the driving forces of international business cycles," 2009 Meeting Papers 820, Society for Economic Dynamics.
- Crucini, Mario J, 1997. "Country Size and Economic Fluctuations," Review of International Economics, Wiley Blackwell, vol. 5(2), pages 204-20, May.
- Norrbin, Stefan C. & Schlagenhauf, Don E., 1996. "The role of international factors in the business cycle: A multi-country study," Journal of International Economics, Elsevier, vol. 40(1-2), pages 85-104, February.
- Watson, Mark W. & Engle, Robert F., 1983. "Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models," Journal of Econometrics, Elsevier, vol. 23(3), pages 385-400, December.
- Albanese, Giuseppe & Modica, Salvatore, 2010. "Co-movement of public spending in the G7," Economics Letters, Elsevier, vol. 109(2), pages 121-123, November.
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