On the time-varying nature of the debt-growth nexus: Evidence from the euro area

Abstract

This paper uses the DCC-GARCH model to investigate the existence of time-varying correlations between public debt and economic growth. To that end, we use annual data from both central and peripheral countries of the euro area for the period 1961-2015. The results suggest that the relationships between these variables are time-varying and that on some countries and for some periods, there is a positive association between them.