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Persistence in the Private Debt-to-GDP Ratio: Evidence from 43 OECD Countries

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  • Guglielmo Maria Caporale
  • Luis A. Gil-Alana
  • Maria Malmierca

Abstract

This paper investigates the degree of persistence of the private debt-to-GDP ratio in 43 OECE 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 A. Gil-Alana & Maria Malmierca, 2021. "Persistence in the Private Debt-to-GDP Ratio: Evidence from 43 OECD Countries," CESifo Working Paper Series 8889, CESifo.
    • Handle: RePEc:ces:ceswps:_8889
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    References listed on IDEAS

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    Cited by:

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    2. 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.
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    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

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