SMU SOE Seminar (Aug 17, 2018): Partners in Debt: An Endogenous Nonlinear Analysis of Interaction of Public and Private Debt on Growth

Please click here if you are unable to view this page.

TOPIC:

PARTNERS IN DEBT: AN ENDOGENOUS NONLINEAR ANALYSIS OF INTERACTION OF PUBLIC AND PRIVATE DEBT ON GROWTH

ABSTRACT This paper studies the interaction of public and private debt in determining economic growth. Both debt variables are treated as endogenous and subject to regime switch with the interaction term being the threshold variable. Then we test whether this interaction variable causes nonlinearity. We find strong evidence for a threshold effect. This threshold variable is also endogenous unlike the previous literature. Using data from 29 OECD countries from 1995-2014, the threshold effect of the interaction of public and private debt to growth is found to be negative and significant on economic growth when it reaches the level of 137%. We also decompose the private debt to household and corporate debt. It is found that the public and private debt interaction is likely to be through the channel of household debt and public debt. For a robustness check, we examine the threshold effects considering the effects of banking crises, output volatility, and institutional quality, different time periods and models. Keywords: Public and Private Debt, Interactive Effect, Economic Growth, Endogenous Threshold, Dynamic Panel Data Click here to view the paper. Click here to view the CV.
		PRESENTER Qingliang Fan Xiamen University
		RESEARCH FIELDS Theoretical Econometrics Applied Econometrics Big Data
		DATE: 17 August 2018 (Friday)
		TIME: 4pm - 5.30pm
		VENUE: Meeting Room 5.1, Level 5 School of Economics Singapore Management University 90 Stamford Road Singapore 178903

© Copyright 2024 by Singapore Management University. All Rights Reserved.