The Great Leveraging in the GIIPS Countries: Domestic Credit and Net Foreign Liabilities

摘要: This paper analyses the relationship between domestic credit and foreign capital flows in GIIPS countries during Great Moderation before global financial crisis. Cointegration on pre-crisis sample reveal that net liabilities are cointegrated for Greece, Italy, Portugal Spain, but not Ireland. For first four long-run coefficient is all cases around one, suggesting a close leveraging inflows. Estimation of VECMs shows adjustment to deviations from takes place through changes Greece while bidirectional Spain possibly also Portugal. These results suggest “push” factors related inflows were important leveraging. The deleveraging after crisis was largely unrelated developments flows.