Allegret Jean-Pierre, Cergibozan Raif
CNRS, GREDEG, Bâtiment 2, Campus Azur du CNRS, Université Côte d'Azur, 250 rue Albert Einstein, CS 10269, F-06905 Sophia Antipolis Cedex, France.
Department of Economics, Kirklareli University, Kayali Kampüsü B-Blok, 39000 Kirklareli, Turkey.
Entropy (Basel). 2023 Jul 8;25(7):1032. doi: 10.3390/e25071032.
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.
该研究旨在实证确定在欧盟15个核心成员国（欧盟15国）框架内发生的债务危机的决定因素。与以往倾向于使用基于事件的危机指标的实证研究不同，我们的研究开发了一个连续的财政压力指数来识别欧盟15国的债务危机，并采用了三种不同的估计技术，即自组织映射、多元逻辑回归和面板马尔可夫政权切换模型。我们的估计结果首先表明，该研究正确识别了每个欧盟15国成员国债务危机的时间和持续时长。实证结果随后通过三种不同模型表明，欧盟15国的债务危机是金融和宏观经济变量恶化的结果，这些变量包括不良贷款占总贷款的比例、GDP增长、失业率、基本预算盈余占GDP的比例以及周期性调整后的预算盈余占GDP的比例。此外，衡量治理质量的变量，如发言权和问责制、监管质量以及政府效能，在欧盟15国债务危机的出现和持续时间方面也发挥着重要作用。
