Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/232486 
Year of Publication: 
2021
Series/Report no.: 
CESifo Working Paper No. 8889
Publisher: 
Center for Economic Studies and Ifo Institute (CESifo), Munich
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.
Subjects: 
persistence
fractional integration
private debt
JEL: 
C22
G30
G51
Document Type: 
Working Paper
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