Persistence in the private debt-t -GDP ratio: evidence from 43 OECD countries
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 Argenti...
| Autores: | , , |
|---|---|
| Tipo de recurso: | artículo |
| Fecha de publicación: | 2021 |
| País: | España |
| Institución: | Universidad Villanueva (UV) |
| Repositorio: | DIGI-UV. Repositorio Digital de la Universidad Villanueva |
| OAI Identifier: | oai:digiuv.villanueva.edu:20.500.12766/520 |
| Acceso en línea: | https://hdl.handle.net/20.500.12766/520 |
| Access Level: | acceso abierto |
| Palabra clave: | Economía Aplicada Persistence Fractional integration Private debt Long memory |
| Sumario: | 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 |
|---|