Asymmetric determinants of household debt in Qatar: evidence from linear and nonlinear ARDL approaches

Abstract

Purpose In light of the sharp increase in household indebtedness in Qatar over the past few decades, this study aims to identify the short- and long-run determinants of household debt. It also examines the asymmetric relationship between key macroeconomic variables and household indebtedness. Design/methodology/approach The study employs both the linear and nonlinear autoregressive distributed lag (ARDL) models on quarterly data over the period (2005Q1–2020Q4). Along with the conventional unit root tests, the study adopted the Clemente–Montanes–Reyes (CMR) stationary test to address the issue of endogenous structural breaks in the series. Findings The study revealed that financial development and natural gas prices exert an asymmetric effect on household debt in both the short and long term. The results also indicated that interest rate has an asymmetric impact on household debt in the long run. Furthermore, the long-run findings derived from ARDL and NARDL models remain robust under alternative estimators, such as the fully modified least squares (FMOLS) and dynamic ordinary least squares (DOLS). Originality/value The study has several contributions. First, this is the sole study that empirically examines the asymmetric macroeconomic determinants of household debt in Qatar, an oil- and gas-rich country in the Middle East. Second, while most existing studies have focused on the linear impact of macroeconomic variables on household debt, this study sheds light on whether these determinants exhibit asymmetric effects. Finally, the paper offers practical recommendations for controlling household debt in Qatar. Peer review The peer review history for this article is available at: https://publons.com/publon/10.1108/IJSE-05-2024-0365