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.

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Year of publication:	2021
Authors:	Caporale, Guglielmo Maria ; Gil-Alaña, Luis A. ; Malmierca, Maria
Publisher:	Munich : Center for Economic Studies and Ifo Institute (CESifo)
Subject:	persistence \| fractional integration \| private debt

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Series:	CESifo Working Paper ; 8889
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	1749171589 [GVK] hdl:10419/232486 [Handle] RePec:ces:ceswps:_8889 [RePEc]
Classification:	C22 - Time-Series Models ; G30 - Corporate Finance and Governance. General ; g51
Source:	EconStor

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