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Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies
dc.contributor.author | Cuestas, Juan Carlos | |
dc.contributor.author | Gil-Alana, Luis | |
dc.contributor.author | Malmierca, María | |
dc.date.accessioned | 2022-05-30T07:02:57Z | |
dc.date.available | 2022-05-30T07:02:57Z | |
dc.date.issued | 2022-03-29 | |
dc.identifier.citation | Cuestas, J.C., Gil-Alana, L.A. and Malmierca, M. (2023), "Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies", Journal of Economic Studies, Vol. 50 No. 3, pp. 448-463. https://doi.org/10.1108/JES-12-2021-0637 | ca_CA |
dc.identifier.issn | 0144-3585 | |
dc.identifier.uri | http://hdl.handle.net/10234/197854 | |
dc.description.abstract | Purpose In 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/approach The authors use Chebyshev's polynomials in time, which allow us to model changes in the data in a smoother way than by structural breaks. Findings This 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/implications Policy implications of the results obtained are discussed at the end of the manuscript. Originality/value The 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. | ca_CA |
dc.format.extent | 19 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Emerald | ca_CA |
dc.rights | © Emerald Publishing Limited | ca_CA |
dc.rights.uri | http://creativecommons.org/licenses/by-nc/4.0/ | ca_CA |
dc.subject | persistence | ca_CA |
dc.subject | fractional integration | ca_CA |
dc.subject | Chebyshev polynomials | ca_CA |
dc.subject | private debt | ca_CA |
dc.title | Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.subject.jel | C22 | ca_CA |
dc.subject.jel | G30 | ca_CA |
dc.subject.jel | G51 | ca_CA |
dc.identifier.doi | https://doi.org/10.1108/JES-12-2021-0637 | |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca_CA |
dc.type.version | info:eu-repo/semantics/acceptedVersion | ca_CA |
project.funder.name | Ministerio de Economía, Industria y Competitividad | ca_CA |
project.funder.name | Agencia Estatal de Investigación (AEI) Spain | ca_CA |
project.funder.name | Fondo Europeo de Desarrollo Regional (FEDER) | ca_CA |
project.funder.name | Universidad Francisco de Vitoria | ca_CA |
project.funder.name | Universitat Jaume I | ca_CA |
oaire.awardNumber | ECO2017- 85503-R | ca_CA |
oaire.awardNumber | UJI-B2019-15 | ca_CA |
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