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The Janus-faced nature of debt : results form a data driven cointegrated SVAR approach

 

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Type:   Working paper
 
Titre:   The Janus-faced nature of debt : results form a data driven cointegrated SVAR approach
 
Auteur(s):   Guerini, Mattia - Scuola Superiore Sant'Anna (Auteur)
Moneta, Alessio (Auteur)
Napoletano, Mauro - Observatoire français des conjonctures économiques (Auteur)
Roventini, Andrea - Laboratory of Economics and Management (Auteur)
 
Date de publication:   2017-02
 
Éditeur:   Paris  :  Observatoire Français des Conjonctures Économiques
 
Collection:   Working paper de l'OFCE  :  2017-02
 
Mots-clés:   [en] Public and Private Debt, Business Cycle Fluctuations, Independant component analysis, SVAR identification
 
JEL:   E32,  E62,  C58,  H63
 
Résumé:   [en] In this paper, we investigate the causal effects of public and private debts on U.S. output dynamics. We estimate a battery of Cointegrated Structural Vector Autoregressive models, and we identify structural shocks by employing Independent Component Analysis, a data-driven technique which avoids ad-hoc identification choices. The econometric results suggest that the impact of debt on economic activity is Janus-faced. Public debt shocks have positive and persistent influence on economic activity. In contrast, rising private debt has a milder positive impact on GDP, but it fades out over time. The analysis of the possible transmission mechanisms reveals that public debt crowds in private consumption and investment. In contrast, mortgage debt fuels consumption and output in the short-run, but shrinks them in the medium-run.
 
URL:   https://www.ofce.sciences-po.fr/pdf/dtravail/WP2017-02.pdf
 
 

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Version de l'éditeur wp2017-02-guerini-janusfacednatureofdebt.pdf 0,94 MB