Cointegration Analysis and Granger Causality Relationship between Exchange Rate Regime and Government Debt in Greece, Ireland, Italy, Portugal and Spain

Milena Kovachevich ()
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Milena Kovachevich: University of National and World Economy, Sofia, Bulgaria

Ikonomiceski i Sotsialni Alternativi, 2016, issue 3, 61-70

Abstract: Almost six years after the beginning of the European debt crisis the causes of Eurozone crisis are still debated and analyzed. Along with the main causes of the crisis, already observed in several Eurozone countries, more common features can be found among the member countries – for example the choice of the exchange rate regime. By using the cointegration analysis the purpose of the study is to test for a long-term relationship between the exchange rate regime and the government debt in the first countries, affected by the debt crisis in the Eurozone. The analysis continues with Granger causality test to identify any impact between the two variables

Keywords: government debt; exchange rate regime; cointegration analysis; Granger causality (search for similar items in EconPapers)
JEL-codes: F30 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:nwe:iisabg:y:2016:i:3:p:61-70

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