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The Evolution of the Credit‐to‐GDP Ratio: An Empirical Analysis

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  • Luis Alberiko Gil‐Alana
  • Tommaso Trani

Abstract

We assess the persistence of the credit‐to‐GDP ratio over more than 130 years of data for 11 advanced economies, employing an approach based on fractional integration and allowing for nonlinearities. We show how the time series properties of the data changed around World War II (WWII). Moreover, our findings are consistent with the idea that the supply of mortgage loans has been particularly strong since WWII, in the sense that the degree of integration of the leverage ratio obtained with only these loans is larger than that of the ratio obtained with the total loans for almost all the studied countries. Nevertheless, it is generally the case that both types of ratios show a higher degree of integration after WWII than before it, though often insignificantly, and that their time trends are significant only after WWII.

Suggested Citation

  • Luis Alberiko Gil‐Alana & Tommaso Trani, 2019. "The Evolution of the Credit‐to‐GDP Ratio: An Empirical Analysis," International Review of Finance, International Review of Finance Ltd., vol. 19(1), pages 237-244, March.
  • Handle: RePEc:bla:irvfin:v:19:y:2019:i:1:p:237-244
    DOI: 10.1111/irfi.12165
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