IDEAS home Printed from https://ideas.repec.org/a/taf/applec/v53y2021i43p5018-5027.html
   My bibliography  Save this article

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

Author

Listed:
  • Guglielmo Maria Caporale
  • Luis Alberiko Gil-Alana
  • Maria Malmierca

Abstract

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 importance of macroprudential policy as one of the pillars of macro policy.

Suggested Citation

  • 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, Taylor & Francis Journals, vol. 53(43), pages 5018-5027, September.
    • Handle: RePEc:taf:applec:v:53:y:2021:i:43:p:5018-5027
    DOI: 10.1080/00036846.2021.1912700
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/00036846.2021.1912700
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/00036846.2021.1912700?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.

    Other versions of this item:

    References listed on IDEAS

    as
    1. Brzoza-Brzezina, Michał & Kolasa, Marcin & Makarski, Krzysztof, 2015. "Macroprudential policy and imbalances in the euro area," Journal of International Money and Finance, Elsevier, vol. 51(C), pages 137-154.
    2. Rubio, Margarita & Carrasco-Gallego, José A., 2014. "Macroprudential and monetary policies: Implications for financial stability and welfare," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 326-336.
    3. Salim Dehmej & Leonardo Gambacorta, 2019. "Macroprudential Policy in a Monetary Union," Comparative Economic Studies, Palgrave Macmillan;Association for Comparative Economic Studies, vol. 61(2), pages 195-212, June.
    4. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    5. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    6. Javier Andres & Oscar Arce & Dominik Thaler & Carlos Thomas, 2020. "When Fiscal Consolidation Meets Private Deleveraging," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 214-233, July.
    7. Gauti B. Eggertsson & Paul Krugman, 2012. "Debt, Deleveraging, and the Liquidity Trap: A Fisher-Minsky-Koo Approach," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 127(3), pages 1469-1513.
    8. Joaquim J.S. Ramalho & Jacinto Vidigal da Silva, 2009. "A two-part fractional regression model for the financial leverage decisions of micro, small, medium and large firms," Quantitative Finance, Taylor & Francis Journals, vol. 9(5), pages 621-636.
    9. Ivens, Annika, 2018. "Optimal fiscal policy under private debt deleveraging," Journal of Economic Dynamics and Control, Elsevier, vol. 97(C), pages 1-18.
    10. Dominic Quint & Pau Rabanal, 2014. "Monetary and Macroprudential Policy in an Estimated DSGE Model of the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 10(2), pages 169-236, June.
    11. de Blas, Beatriz & Malmierca, María, 2020. "Financial frictions and stabilization policies," Economic Modelling, Elsevier, vol. 89(C), pages 166-188.
    12. Raberto, Marco & Teglio, Andrea & Cincotti, Silvano, 2012. "Debt, deleveraging and business cycles: An agent-based perspective," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-49.
    13. Ms. Sally Chen & Minsuk Kim & Marijn Otte & Kevin Wiseman & Ms. Aleksandra Zdzienicka, 2015. "Private Sector Deleveraging and Growth Following Busts," IMF Working Papers 2015/035, International Monetary Fund.
    14. Ángel Estrada & Eva Valdeolivas & Javier Vallés & Daniel Garrote, 2014. "Household debt and uncertainty: Private consumption after the Great Recession," Working Papers 1415, Banco de España.
    15. Bole, Velimir & Prašnikar, Janez & Trobec, Domen, 2014. "Policy measures in the deleveraging process: A macroprudential evaluation," Journal of Policy Modeling, Elsevier, vol. 36(2), pages 410-432.
    16. Serena Ng & Pierre Perron, 2001. "LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power," Econometrica, Econometric Society, vol. 69(6), pages 1519-1554, November.
    17. Javier Andres & Oscar Arce & Dominik Thaler & Carlos Thomas, 2020. "When Fiscal Consolidation Meets Private Deleveraging," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 37, pages 214-233, July.
    18. Nobuhiro Kiyotaki & John Moore, 2002. "Balance-Sheet Contagion," American Economic Review, American Economic Association, vol. 92(2), pages 46-50, May.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Maria Malmierca-Ordoqui & Luis A. Gil-Alana & Lorenzo Bermejo, 2024. "Private and public debt convergence: a fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(1), pages 161-183, February.
    2. Juan Carlos Cuestas & Luis A. Gil-Alana & María Malmierca, 2022. "Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 50(3), pages 448-463, March.
    3. Ciola, Emanuele & Turco, Enrico & Gurgone, Andrea & Bazzana, Davide & Vergalli, Sergio & Menoncin, Francesco, 2023. "Enter the MATRIX model:a Multi-Agent model for Transition Risks with application to energy shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Juan Carlos Cuestas & Luis A. Gil-Alana & María Malmierca, 2022. "Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 50(3), pages 448-463, March.
    2. Malmierca, María, 2022. "Stabilization and the policy mix in a monetary union," The Quarterly Review of Economics and Finance, Elsevier, vol. 83(C), pages 92-118.
    3. Jelena Zivanovic, 2021. "An Optimal Macroprudential Policy Mix for Segmented Credit Markets," Staff Working Papers 21-31, Bank of Canada.
    4. Burlon, L. & Gerali, A. & Notarpietro, A. & Pisani, M., 2018. "Non-standard monetary policy, asset prices and macroprudential policy in a monetary union," Journal of International Money and Finance, Elsevier, vol. 88(C), pages 25-53.
    5. Guangling Liu & Thabang Molise, 2019. "The effectiveness of the counter-cyclical loan-to-value regulation: Generic versus sector-specific rules," Working Papers 21/2019, Stellenbosch University, Department of Economics.
    6. Ben-Gad, Michael & Pearlman, Joseph & Sabuga, Ivy, 2022. "An analysis of monetary and macroprudential policies in a DSGE model with reserve requirements and mortgage lending," Economic Modelling, Elsevier, vol. 116(C).
    7. Cuestas, Juan C. & Gil-Alana, Luís A., 2009. "Further evidence on the PPP analysis of the Australian dollar: Non-linearities, fractional integration and structural changes," Economic Modelling, Elsevier, vol. 26(6), pages 1184-1192, November.
    8. Bond, Derek & Harrison, Michael J & Hession, Niall & O’Brien, Edward J., 2006. "Some Empirical Observations on the Forward Exchange Rate Anomaly," Research Technical Papers 3/RT/06, Central Bank of Ireland.
    9. Dennis, Richard & Ilbas, Pelin, 2023. "Monetary and macroprudential policy interactions in a model of the euro area," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    10. Margarita Rubio, 2024. "Macroprudential policy implementation in a heterogeneous monetary union," Oxford Economic Papers, Oxford University Press, vol. 76(2), pages 351-374.
    11. Maria Malmierca-Ordoqui & Luis A. Gil-Alana & Lorenzo Bermejo, 2024. "Private and public debt convergence: a fractional cointegration approach," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 51(1), pages 161-183, February.
    12. Darracq Pariès, Matthieu & Kok, Christoffer & Rancoita, Elena, 2019. "Macroprudential policy in a monetary union with cross-border banking," Working Paper Series 2260, European Central Bank.
    13. Matthieu Darracq Paries, 2018. "Financial frictions and monetary policy conduct," Erudite Ph.D Dissertations, Erudite, number ph18-01 edited by Ferhat Mihoubi.
    14. Melchisedek Joslem Ngambou Djatche, 2022. "Monetary policy, prudential policy and bank's risk‐taking: A literature review," Journal of Economic Surveys, Wiley Blackwell, vol. 36(5), pages 1559-1590, December.
    15. Gil-Alana, Luis A. & Mudida, Robert & Zerbo, Eleazar, 2021. "GDP per capita IN SUB-SAHARAN Africa: A time series approach using long memory," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 175-190.
    16. Andrea Ferrero & Richard Harrison & Benjamin Nelson, 2024. "House Price Dynamics, Optimal LTV Limits and the Liquidity Trap," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 91(2), pages 940-971.
    17. Badarau, Cristina & Carias, Marcos & Figuet, Jean-Marc, 2020. "Cross-border spillovers of macroprudential policy in the Euro area," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 1-13.
    18. Dmitriy Sergeyev, 2016. "Optimal Macroprudential and Monetary Policy in a Currency Union," 2016 Meeting Papers 463, Society for Economic Dynamics.
    19. Mădălin Viziniuc, 2017. "Potential Gains from Cooperation Between Monetary and Macroprudential Policies: The Case of an Emerging Economy," Eastern European Economics, Taylor & Francis Journals, vol. 55(5), pages 420-452, September.
    20. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 364-375, October.

    More about this item

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G51 - Financial Economics - - Household Finance - - - Household Savings, Borrowing, Debt, and Wealth

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:applec:v:53:y:2021:i:43:p:5018-5027. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEC20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.