Credit Market Disequilibrium in Poland : Can We Find What We Expect ? Non-Stationarity and the"Min" Condition
AbstractThis paper presents an empirical investigation of the disequilibrium hypothesis on the Polish loan market in the 1990s. Using data over this period of deep transition, we estimate a disequilibrium model with a standard maximum likelihood method. However, the estimates are highly counter-intuitive as regards the timing of the identified regimes. We show that the gap between the econometric evidence and the expected results may stem from the issue of stochastic non-stationarity in a disequilibrium setting based on the âminâ condition. We find that the omission of one non-stationary variable of the cointegrating space or the absence of a âstructuralâ cointegrating relationship in one or both regimes lead to a spurious configuration. In such a case, using, wrongly, the standard likelihood function, derived under the hypothesis of stationarity, may lead to non-convergent estimates of structural parameters and, as a consequence, to a fallacious regimes identification. Therefore, as the first approach to this issue, we estimate a disequilibrium model with stationary data. The empirical results are then robust and economically founded and correspond to the set and the timing of anticipated regimes.
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Bibliographic InfoPaper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/3410.
Date of creation: Jun 2003
Date of revision:
Non-stationarity and cointegration; Monetary standard and regimes; Disequilibrium;
Other versions of this item:
- Christophe Hurlin & Rafal Kierzenkowski, 2003. "Credit Market Disequilibrium in Poland: Can We Find What We Expect? Non-Stationarity and the “Min”Condition," William Davidson Institute Working Papers Series 2003-581, William Davidson Institute at the University of Michigan.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
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