Persistence in the Private Debt-to-GDP Ratio: Evidence from 43 OECD Countries

Guglielmo Maria Caporale, Luis Gil-Alana and Maria Malmierca

No 8889, CESifo Working Paper Series from CESifo

Abstract: 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.

Keywords: persistence; fractional integration; private debt (search for similar items in EconPapers)
JEL-codes: C22 G30 G51 (search for similar items in EconPapers)
Date: 2021
New Economics Papers: this item is included in nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp8889.pdf (application/pdf)

Related works:
Journal Article: Persistence in the private debt-t -GDP ratio: evidence from 43 OECD countries (2021)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_8889

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().