Is There a Debt-Threshold Effect on Output Growth?

• 成果类型: Article
• 署名作者: Chudik, Alexander; Mohaddes, Kamiar; Pesaran, M. Hashem; Raissi, Mehdi
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Dallas; University of Cambridge; University of Cambridge; University of Southern California; University of Cambridge; International Monetary Fund
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/REST_a_00593
• 发表日期: 2017-03
• 页码: 135-150
• 关键词: nuisance parameter; dynamic panels; models

摘要

This paper studies the relationship between public debt expansion and economic growth and investigates whether the debt-growth relation varies with the level of indebtedness. We contribute theoretically by developing tests for threshold effects in the context of dynamic heterogeneous panel data models with cross-sectionally dependent errors. In the empirical application, using data on a sample of forty countries over the 1965-2010 period, we find no evidence for a universally applicable threshold effect in the relationship between public debt and economic growth. Regardless of the threshold, however, we find significant negative effects of public debt buildup on output growth.