Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies

Author:

Cuestas Juan Carlos,Gil-Alana Luis A.ORCID,Malmierca MaríaORCID

Abstract

PurposeIn particular, in this article, the authors investigate the degree of persistence in the credit-to-gross domestic product (GDP) ratio in 44 Organisation for Economic Co-operation and Development (OECD) economies in the context of nonlinear deterministic trends.Design/methodology/approachThe authors use Chebyshev's polynomials in time, which allow us to model changes in the data in a smoother way than by structural breaks.FindingsThis study’s results indicate that approximately one-quarter of the series display non-linear structures, and only Argentina displays a mean reverting pattern.Research limitations/implicationsPolicy implications of the results obtained are discussed at the end of the manuscript.Originality/valueThe authors use an approach developed that allows for non-linear trends based on Chebyshev polynomials in time, with the residuals being fractionally integrated or integrated of order d, where d can be any real value.

Publisher

Emerald

Subject

General Economics, Econometrics and Finance

Reference53 articles.

1. When fiscal consolidation meets private deleveraging;Review of Economic Dynamics,2020

2. Fractional integration in the equity markets of MENA region;Applied Financial Economics,2007

3. Fiscal buffers, private debt, and recession: the good, the bad and the ugly;Journal of Macroeconomics,2019

4. Dynamic debt deleveraging and optimal monetary policy;American Economic Journal: Macroeconomics,2020

5. Bernanke, B.S. (2005), “The global saving glut and the U.S. Current account deficit”, available at: http://www.federalreserve.gov/boarddocs/speeches/2005/200503102/default.htm.

Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3