Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economies
comunitat-uji-handle:10234/9
comunitat-uji-handle2:10234/8643
comunitat-uji-handle3:10234/8644
comunitat-uji-handle4:
INVESTIGACIONMetadata
Title
Credit-to-GDP ratios – non-linear trends and persistence: evidence from 44 OECD economiesDate
2022-03-29Publisher
EmeraldISSN
0144-3585Bibliographic 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-12-2021-0637Type
info:eu-repo/semantics/articleVersion
info:eu-repo/semantics/acceptedVersionSubject
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 ... [+]
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. [-]
Funder Name
Ministerio de Economía, Industria y Competitividad | Agencia Estatal de Investigación (AEI) Spain | Fondo Europeo de Desarrollo Regional (FEDER) | Universidad Francisco de Vitoria | Universitat Jaume I
Project code
ECO2017- 85503-R | UJI-B2019-15
Rights
© Emerald Publishing Limited
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
This item appears in the folowing collection(s)
- ECO_Articles [694]