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

21 Pages Posted: 19 Feb 2021

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Luis A. Gil-Alana

University of Navarra - Department of Economics

María Malmierca

Universidad Autónoma de Madrid; Universidad Complutense de Madrid

Date Written: 2021

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.

JEL Classification: C220, G300, G510

Suggested Citation

Caporale, Guglielmo Maria and Gil-Alana, Luis A. and Malmierca, María, Persistence in the Private Debt-to-GDP Ratio: Evidence from 43 OECD Countries (2021). CESifo Working Paper No. 8889, Available at SSRN: https://ssrn.com/abstract=3788709

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

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London South Bank University ( email )

Centre for Monetary and Financial Economics
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CESifo (Center for Economic Studies and Ifo Institute)

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German Institute for Economic Research (DIW Berlin) ( email )

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Luis A. Gil-Alana

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
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Spain

María Malmierca

Universidad Autónoma de Madrid ( email )

Campus Cantoblanco
C/Kelsen, 1
Madrid, Madrid 28049
Spain

Universidad Complutense de Madrid ( email )

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Madrid, Madrid 28223
Spain
661118053 (Phone)

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