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

Jean-Pierre Allegret () and Raif Cergibozan
Additional contact information
Jean-Pierre Allegret: GREDEG - Groupe de Recherche en Droit, Economie et Gestion - UNS - Université Nice Sophia Antipolis (1965 - 2019) - CNRS - Centre National de la Recherche Scientifique
Raif Cergibozan: Department of Economics, Kirklareli University

Post-Print from HAL

Abstract: 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

Date: 2023
References: Add references at CitEc
Citations:

Published in Entropy, 2023, Special Issue "Applications of Statistical Physics in Finance and Economics", 25 (7), pp.1032. ⟨10.3390/e25071032⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04156630

DOI: 10.3390/e25071032

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().