Persistence in the private debt-t -GDP ratio: evidence from 43 OECD countries
Fecha
2021Citación
Guglielmo Maria Caporale, Luis Alberiko Gil-Alana & Maria Malmierca (2021) Persistence in the private debt-t -GDP ratio: evidence from 43 OECD countries, Applied Economics, 53:43, 5018-5027, DOI: 10.1080/00036846.2021.1912700
Resumen
This paper investigates the degree of persistence of the private debt-to-GDP ratio in 43 OECD 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 impor-tance of macroprudential policy as one of the pillars of macro policy
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Tipo de documento
journal article