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Credit-to-GDP ratios. Non-linear trends and persistence: Evidence from 44 OECD economies

Juan Cuestas, Luis Gil-Alana and Maria Malmierca ()
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Maria Malmierca: Faculty of Law and Business , University Villanueva, Madrid, Spain

No 2021/05, Working Papers from Economics Department, Universitat Jaume I, Castellón (Spain)

Abstract: In this article we investigate the degree of persistence in the credit-to-GDP ratio in 44 OECD economies in the context of nonlinear deterministic trends. In particular, we use Chebyshev’s polynomials in time, which allow us to model changes in the data in a smoother way than by structural breaks. Our results indicate that approximately one quarter of the series display non-linear structures, and only Argentina displays a mean reverting pattern. Policy implications of the results obtained are discussed at the end of the manuscript.

Keywords: Chebyshev polynomials; fractional integration; persistence; private debt (search for similar items in EconPapers)
JEL-codes: C22 G30 G51 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2021
New Economics Papers: this item is included in nep-fdg and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:jau:wpaper:2021/05

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