This article investigates the macroeconomic determinants of household debt in developed economies using a sample comprising 26 OECD countries for the period of 2002q1–2020q4. By resorting to the unconditional quantile regression, we find relevant asymmetries in the response of household debt. According to our results, economic growth leads to lower household debt, but the beneficial effect decreases as the level of household debt increases. Inflation lowers household borrowing only if the level of debt is high. Higher house prices lead to higher household debt, with the impact becoming stronger as the level of debt is higher. Investments go hand in hand with household debt, and higher investments lead to higher levels of borrowing, even when household debt is already high. Mortgage credit interest rates are positively linked with household debt, starting with higher debt levels. A rising unemployment rate leads to lower household debt, but the link becomes weaker as the level of debt increases. Higher public expenditures are generally associated with lower household debt. In addition, we find that household debt exhibits very powerful autoregressive behavior, being difficult to reduce rapidly in the case of need.

Following the financial crisis of 2007 and the sovereign debt crisis in 2010 that affected the soundness and reduced the strength of public finance in European countries, there has been a growing interest in developing methodologies to the help assess and signal the vulnerability of fiscal policy. Therefore, the aim of this study is to develop a new framework (V-L-D) to assess fiscal vulnerability. V-L-D represents a new methodology on the measurement of fiscal vulnerability that relies on the assumption that vulnerability can occur even during calm times. In comparison with previous methodologies that studied fiscal vulnerability around crisis and fiscal distress times, our framework investigates fiscal vulnerability near fiscal adjustments episodes. Our methodology relies on two distinct indicators: one showing the vulnerabilities indicated by the level of the cyclically adjusted budget balance and distance-to-stability, and one showing the vulnerabilities pointed out through the changes of the cyclically adjusted budget balance and public debt. V-L-D is able to classify fiscal vulnerability into five distinct categories having scores from 0 (no fiscal vulnerability) to 4 (extreme fiscal vulnerability). Using annual data ranging over 1990–2013 for 28 European Union countries, we evidenced 310 episodes of fiscal vulnerability, out of which 128 episodes of low vulnerability, 94 of moderate, 62 of strong, and 26 of extreme fiscal vulnerability. We also found that over 2004–2013, Greece, Portugal, Romania, United Kingdom, Ireland, Spain, and Slovenia were the most fiscally vulnerable countries in the Union. United Kingdom and Greece went through the longest episodes of fiscal vulnerability, counting 12 and 11 consecutive years, respectively. We tested our framework’s effectiveness against the Excessive Deficit Procedure. We found that the overall performance is good: V-L-D assessed moderate fiscal vulnerability during the procedure, strong fiscal vulnerability in the first year when procedure was initiated, and extreme vulnerability one year before the initiation.

In this paper, we rely on a comprehensive dataset of European commercial banks from the ORBIS Database spanning from 2014 to 2022 and use an unconditional quantile regression to investigate the driving factors of profitability. By controlling for several bank-related factors, we aim to capture the influence of economic support measures on banking profitability as measured by the ROA. The major finding of the paper brings to light the negative impact of economic support measures on bank profitability, especially for banks associated with the lower and middle quantiles of the distribution of the ROA. This suggests that while government interventions are essential during economic downturns such as the COVID-19 pandemic, their impact on banking sector productivity is more complex. Indeed, when the government provides more intensive economic support in the form of direct subsidies, grants, or tax exemptions, it reduces the immediate dependence of economic agents on bank loans. If these entities receive funds directly from the government, their propensity to borrow from banks drastically decreases, resulting in a reduction in their interest income and other financial services.

This paper contributes to the literature dedicated to the interlinkages between cryptocurrencies and currencies by investigating whether Bitcoin price movements affect the exchange rates of a sample of nine European countries with non-euro currencies. By resorting to the novel unconditional quantile regression, we show that there is a statistically significant link between Bitcoin price movements and changes in nominal exchange rates. In normal market conditions, an increase in the price of Bitcoin can be associated with an appreciation of the currencies from our sample, while during the COVID-19 pandemic, the relationship inversed. In addition, we find heterogeneities in this relationship, depending on the level of change in the nominal exchange rate. The results emphasize the relevance of Bitcoin price movements to the conduct of monetary policy through the exchange rate channel and that investors in cryptocurrencies and various financial assets denominated in the currencies from our sample can benefit from diversification by including both types of assets in their portfolios.

This study examines the issue of fiscal sustainability—measured through the response of the budgetary balance to public debt levels—for 36 OECD countries and candidate countries, and it shows that the relationship is non-linear and depends on the level of the informal economy as a threshold variable. Using the Panel Smooth Transition Regression model, the analysis uncovers regime-dependent fiscal behavior, indicating that the effect of public debt on the budget deficit varies significantly under different economic conditions. In regime 1—at a low level of the informal economy-, the impact of debt on the budgetary deficit is negative and significant, but in regime 2—when the informal economy exceeds the transition threshold-, this impact becomes positive and significant. These results indicate that, in an economic context with a larger informal economy, debt may have a different effect on the budgetary deficit, possibly due to factors such as reduced fiscal efficiency or loss of government revenue. Therefore, fiscal sustainability can be affected by the level of the informal economy.

In this paper, using a panel of annual observations ranging from 2005 to 2018, we employ the novel unconditional quantile regression by resorting to an augmented fiscal reaction function model to examine the distribution-varying fiscal response for 26 European Union countries. The results point to significant asymmetries regarding the fiscal response measured in terms of the cyclically adjusted primary balance to different covariates. More specifically, we report a U-shaped fiscal reaction to debt changes suggesting more explicit debt stabilization concerns during high-deficit periods. We also show a varying response when debt exceeds the 60% threshold, which is conditioned by the size of the fiscal position. In addition, we reveal a procyclical fiscal behaviour when balance is highly deteriorated.