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

Mario Di Serio

Finance Research Letters, 2024, vol. 69, issue PA

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.

Keywords: Euro area public debt; Public debt determinants; Time-varying generalized forecast error variance decomposition; Bayesian Interacted panel VAR model (search for similar items in EconPapers)
JEL-codes: C11 C33 E43 G01 H63 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011309

DOI: 10.1016/j.frl.2024.106101

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