期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2014
出版社：European Central Bank
摘要：The balance sheet adjustment in the household sector was a prominent feature of the GreatRecession that is widely believed to have held back the cyclical recovery of the US economy.A key question for the US outlook is therefore whether household deleveraging has ended orwhether further adjustment is needed. The novelty of this paper is to estimate a time-varyingequilibrium household debt-to-income ratio determined by economic fundamentals to examinethis question. The paper uses state-level data for household debt from the FRBNY ConsumerCredit Panel over the period 1999Q1 to 2012Q4 and employs the Pooled Mean Group (PMG)estimator developed by Pesaran et al. (1999), adjusted for cross-section dependence. The resultssupport the view that, despite signi cant progress in household balance sheet repair, householddeleveraging still had some way to go as of 2012Q4, as the actual debt-to-income-ratio continuedto exceed its estimated equilibrium. The baseline conclusions are rather robust to a set ofalternative speci cations. Going forward, our model suggests that part of this debt gap could,however, be closed by improving economic conditions rather than only by further declines inactual debt. Nevertheless, the normalisation of the monetary policy stance may imply challengesfor the deleveraging process by making a given level of household debt less a ordable andtherefore less sustainable.
关键词：Household deleveraging; Equilibrium debt; Pooled Mean Group estimator; Hetero-;geneous dynamic panels.
