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Is There a Debt-Threshold Effect on Output Growth?
The Review of Economics and Statistics ( IF 6.481 ) Pub Date : 2017-03-01 , DOI: 10.1162/rest_a_00593
Alexander Chudik , Kamiar Mohaddes , M. Hashem Pesaran , Mehdi Raissi

This paper studies the long-run impact of public debt expansion on economic growth and investigates whether the debt-growth relation varies with the level of indebtedness. Our contribution is both theoretical and empirical. On the theoretical side, we develop tests for threshold effects in the context of dynamic heterogeneous panel data models with cross-sectionally dependent errors and illustrate, by means of Monte Carlo experiments, that they perform well in small samples. On the empirical side, using data on a sample of 40 countries (grouped into advanced and developing) over the 1965-2010 period, we find no evidence for a universally applicable threshold effect in the relationship between public debt and economic growth, once we account for the impact of global factors and their spillover effects. Regardless of the threshold, however, we find significant negative long-run effects of public debt build-up on output growth. Provided that public debt is on a downward trajectory, a country with a high level of debt can grow just as fast as its peers.

中文翻译:

债务门槛对产出增长有影响吗?

本文研究了公共债务扩张对经济增长的长期影响,并研究了债务增长关系是否随着债务水平的变化而变化。我们的贡献是理论上和经验上的。从理论上讲,我们在具有横截面相关误差的动态异构面板数据模型的背景下开发了阈值效应的测试,并通过蒙特卡洛实验证明了它们在小样本中表现良好。在经验方面,使用1965年至2010年期间40个国家(分为发达和发展中)的样本数据,我们发现没有证据表明公共债务与经济增长之间的关系具有普遍适用的门槛效应。全球因素的影响及其溢出效应。不管门槛如何 我们发现,公共债务积累对产出增长的长期负面影响很大。只要公共债务呈下降趋势,债务水平高的国家就可以与其他国家一样快地增长。
更新日期:2017-03-01
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