ECIN Replication Package for "Global shocks and the debt-growth nexus"

This paper re-examines the relationship between debt and growth with and without the influence of global shocks for a panel of 22 economies from 2000 to 2019. The analysis introduces an approach that accounts for the complexity of global factors and estimates the debt-to-growth and growth-to-debt nexus for household, corporate, and public debt from a purely idiosyncratic perspective. The results reveal a multifactor structure: global shocks shape household and public debt, whereas corporate debt remains largely idiosyncratic. These global shocks alter the strength and significance of the idiosyncratic component of the relationship, underscoring their critical role in identifying the debt-growth nexus.