Publication: The response of household debt to COVID-19 using a neural networks VAR in OECD
The response of household debt to COVID-19 using a neural networks VAR in OECD
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Mamatzakis, E. C., Ongena, S., & Tsionas, M. G. (2023). The response of household debt to COVID-19 using a neural networks VAR in OECD. Empirical Economics, 65, 65–91. https://doi.org/10.1007/s00181-022-02325-2
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This paper investigates responses of household debt to COVID-19 related data like confirmed cases and confirmed deaths within a panel VAR framework for OECD countries. We also employ a plethora of non-pharmaceutical and pharmaceutical interventions as shocks. In terms of methodology, we opt for a global panel VAR (GVAR) methodology that nests underlying country VARs. In addition, as linear factor models may be unable to capture the variability in the data, we use an artificial neural network (ANN) method. The number of factors, as wel
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- Mamatzakis, Emmanuel C
- Tsionas, Mike G
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Mamatzakis, E. C., Ongena, S., & Tsionas, M. G. (2023). The response of household debt to COVID-19 using a neural networks VAR in OECD. Empirical Economics, 65, 65–91. https://doi.org/10.1007/s00181-022-02325-2
