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.