Private and public debt convergence: a fractional cointegration approach
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Malmierca-Ordoqui, M., Gil-Alana, L.A. & Bermejo, L. Private and public debt convergence: a fractional cointegration approach. Empirica 51, 161–183 (2024). https://doi.org/10.1007/s10663-023-09594-9
The devastating effects of the financial and economic recessions within the last two decades have led researchers to question whether there is a connection between the public and private financial sectors that contributes to the rapid propagation of crisis. We analyze the fractional cointegrating structure between the private and public debt-to-GDP ratios for 17 European countries to examine the relevance of this relationship as an amplification channel of shocks. On the one hand, the univariate ...