Measurement of Eurozone crisis for PIIGS nations: through composite indexes approach

Abstract

The paper aims to measure the European crisis and to compare the crisis-affected countries with the least affected country within PIIGS nations through formation of different indices (principal component analysis). The annual data are collected from 2001 to 2015. These variables were segregated into macro, banking, fiscal, social and financial variables. FGLS, PCSE and IV approach was applied. The results show the Eurozone crisis is a complex web of financial, fiscal, macro and social crisis indices. It is basically not the banking crisis. The crisis window (2008–2009) turns out to be significant.

Keywords:

• European crisis
• PIIGS
• Granger causality test
• principal component analysis
• FGLS
• PCSE
• 2SLS

Notes

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

1 A dummy variables exercise and chow test was implement on the data series for five PIIGS nations for all 113 variables to see whether there was any structural kink at 2008 and 2009, which is the crises window during the Euro Zone crisis.

2 Due to lack of space the result is not mentioned here. The Result of stationery and Causality Test for Ireland is available with author and available on request.

Additional information

Notes on contributors

Anjala Kalsie

Dr. Anjala Kalsie is Ph.D in International Economies. She has done rigorous work in the area of crises, capital flows, capital account openness and risk. She has profundity on research methodology. She has published numbers of empirical and conceptual papers. Her papers have figured in top 10 papers of SSRN.

Jaya Pandey

Ms. Jaya Pandey is a research Scholar of Faculty of Management Studies, University of Delhi, India. She is MBA in the area of Finance.