Accumulating debt raises concerns about its implications for macroeconomic stability. This paper sheds light on the implications of high indebtedness for the macroeconomic volatility by identifying the main drivers of the evolution of debt in a set of countries. The country choice was based on large deleveraging episodes of total economy debt, identified by turning point dating. The analysis shows that GDP is more volatile in the phase of deleveraging. However, countries can be distinguished into two groups. In a first set of countries (Germany, Israel, Mexico and the United States) economic activity has often rebounded during the phase of deleveraging. On the contrary, in a second group of countries, the higher volatility during the deleveraging phase has been accompanied by sluggish economic activity. Countries in this second group (for instance, Japan and Sweden) share the common characteristic that higher indebtedness was driven by a boom in asset prices. When asset prices burst, the financial sector cuts credit supply, which weighs on economic activity. The results also suggest that many episodes of debt leveraging have been naturally driven by boom in asset price used as collateral or by financial liberalisation, which have facilitated excessive borrowing.