Persistence in the private debt-to-GDP ratio : evidence from 43 OECD countries

Guglielmo Maria Caporale, Luis A. Gil-Alana, Maria Malmierca

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.

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Year of publication:	February 2021
Authors:	Caporale, Guglielmo Maria ; Gil-Alaña, Luis A. ; Malmierca, Maria
Publisher:	Munich, Germany : CESifo, Center for Economic Studies & Ifo Institute
Subject:	persistence \| fractional integration \| private debt \| OECD-Staaten \| OECD countries \| Privatisierung \| Privatization \| Öffentliche Schulden \| Public debt \| Schätzung \| Estimation \| Private Verschuldung \| Private debt

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Extent:	1 Online-Ressource (circa 21 Seiten)
Series:	CESifo working papers. - München : [Verlag nicht ermittelbar], ISSN 2364-1428, ZDB-ID 2065232-X. - Vol. no. 8889 (2021)
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Other identifiers:	hdl:10419/232486 [Handle]
Classification:	C22 - Time-Series Models ; G30 - Corporate Finance and Governance. General ; g51
Source:	ECONIS - Online Catalogue of the ZBW

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