PIIGS in the Euro Area. An Empirical DSGE Model

Alice Albonico, Alessia Paccagnini and Patrizio Tirelli

No 331, Working Papers from University of Milano-Bicocca, Department of Economics

Abstract: We build up and estimate a two-region DSGE model of the Euro area, investigating the interactions between the peripheral countries (PIIGS) and the rest of EMU. Our main focus is on the 2008-2009 financial crisis and on the subsequent 2010-sovereign bond crisis. One striking result is that the two crises are characterized by demand shocks in the core Euro area countries, whereas region-specific permanent technology shocks explain most of output growth slowdown in the PIIGS countries. Our results suggest that the capital flows reversals caused important supply-side e¤ects in the Eurozone periphery.

Keywords: PIIGS; Euro crisis; two-country DSGE; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: C11 C13 C32 E21 E32 E37 (search for similar items in EconPapers)
Pages: 54
Date: 2016-03-11, Revised 2016-03-11
New Economics Papers: this item is included in nep-dge, nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Related works:
Working Paper: PIIGS in the Euro area: An empirical DSGE model (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:mib:wpaper:331

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