Arbeitspapier
Persistence in the Private Debt-to-GDP Ratio: Evidence from 43 OECD Countries
This paper investigates the degree of persistence of the private debt-to-GDP ratio in 43 OECE countries by estimating the fractional integration parameter of each series. Almost all of them are found to be highly persistent, with orders of integration around or above 1. The only exception is Argentina, where the series appears to be mean-reverting. These results highlight the key importance of macroprudential policy as one of the pillars of macro policy.
- Language
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Englisch
- Bibliographic citation
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Series: CESifo Working Paper ; No. 8889
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Corporate Finance and Governance: General
- Subject
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persistence
fractional integration
private debt
- Event
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Geistige Schöpfung
- (who)
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Caporale, Guglielmo Maria
Gil-Alaña, Luis A.
Malmierca, Maria
- Event
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Veröffentlichung
- (who)
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Center for Economic Studies and Ifo Institute (CESifo)
- (where)
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Munich
- (when)
-
2021
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Caporale, Guglielmo Maria
- Gil-Alaña, Luis A.
- Malmierca, Maria
- Center for Economic Studies and Ifo Institute (CESifo)
Time of origin
- 2021
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