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Transmission of the debt crisis: From EU15 to USA or vice versa? A GVAR approach

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  • Konstantakis, Konstantinos N.
  • Michaelides, Panayotis G.

Abstract

In this paper, we estimate a GVAR model in order to study the transmission of shocks between the EU15 and the USA economies, respectively, on a quarterly basis in the 2000 (Q1)–2011 (Q4) time span. Our work is based on the global variables of trade and credit which act as the transmission channels, whereas EU15 is being treated as a single economy. Our main finding is that a shock in the US Debt has significant and persistent results on the EU15 and US economies. In general, the EU15 economy seems to be more vulnerable to the various shocks while US Debt is found to affect significantly in the short run its EU15 counterpart.

Suggested Citation

  • Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2014. "Transmission of the debt crisis: From EU15 to USA or vice versa? A GVAR approach," Journal of Economics and Business, Elsevier, vol. 76(C), pages 115-132.
  • Handle: RePEc:eee:jebusi:v:76:y:2014:i:c:p:115-132
    DOI: 10.1016/j.jeconbus.2014.04.001
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    3. Konstantinos N. Konstantakis & Panayotis G. Michaelides & Livia Chatzieleftheriou & Arsenios‐Georgios N. Prelorentzos, 2022. "Crisis and the Chinese miracle: A network—GVAR model," Bulletin of Economic Research, Wiley Blackwell, vol. 74(3), pages 900-921, July.
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    5. Tsionas, Efthymios G. & Konstantakis, Konstantinos N. & Michaelides, Panayotis G., 2016. "Bayesian GVAR with k-endogenous dominants & input–output weights: Financial and trade channels in crisis transmission for BRICs," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 42(C), pages 1-26.
    6. Michaelides, Panayotis G. & Konstantakis, Konstantinos N. & Milioti, Christina & Karlaftis, Matthew G., 2015. "Modelling spillover effects of public transportation means: An intra-modal GVAR approach for Athens," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 82(C), pages 1-18.
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    More about this item

    Keywords

    Business cycles; Crisis; Transmission; Debt; US; EU15; GVAR;
    All these keywords.

    JEL classification:

    • E1 - Macroeconomics and Monetary Economics - - General Aggregative Models
    • O5 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies

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