Determinants of the European Sovereign Debt Crisis: Application of Logit, Panel Markov Regime Switching Model and Self Organizing Maps - Archive ouverte HAL Accéder directement au contenu
Article Dans Une Revue Entropy Année : 2023

Determinants of the European Sovereign Debt Crisis: Application of Logit, Panel Markov Regime Switching Model and Self Organizing Maps

Résumé

The study aims to empirically identify the determinants of the debt crisis that occurred within the framework of 15 core EU member countries (EU-15). Contrary to previous empirical studies that tend to use event-based crisis indicators, our study develops a continuous fiscal stress index to identify the debt crises in the EU-15 and employs three different estimation techniques, namely self-organizing map, multivariate logit and panel Markov regime switching models. Our estimation results show first that the study correctly identifies the time and the length of the debt crisis in each EU-15-member country. Empirical results then indicate, via three different models, that the debt crisis in the EU-15 is the consequence of deterioration of both financial and macroeconomic variables such as nonperforming loans over total loans, GDP growth, unemployment rates, primary balance over GDP, and cyclically adjusted balance over GDP. Furthermore, variables measuring governance quality, such as voice and accountability, regulatory quality, and government effectiveness, also play a significant role in the emergence and the duration of the debt crisis in the EU-15

Dates et versions

hal-04156630 , version 1 (09-07-2023)

Identifiants

Citer

Jean-Pierre Allegret, Raif Cergibozan. Determinants of the European Sovereign Debt Crisis: Application of Logit, Panel Markov Regime Switching Model and Self Organizing Maps. Entropy, 2023, Special Issue "Applications of Statistical Physics in Finance and Economics", 25 (7), pp.1032. ⟨10.3390/e25071032⟩. ⟨hal-04156630⟩
8 Consultations
0 Téléchargements

Altmetric

Partager

Gmail Facebook X LinkedIn More