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 “min” condition. We find that the omission of one non-stationary variable of the cointegrating space or the absence of a “structural” 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 William Davidson Institute at the University of Michigan in its series William Davidson Institute Working Papers Series with number 2003-581.
Length: 29 pages
Date of creation: 01 Jun 2003
Date of revision:
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monetary standard and regimes; non-stationarity and cointegration; transition; Poland.;
Other versions of this item:
- Hurlin, Christophe & Kierzenkowski, Rafal, 2003. "Credit Market Disequilibrium in Poland : Can We Find What We Expect ? Non-Stationarity and the"Min" Condition," Economics Papers from University Paris Dauphine 123456789/3410, Paris Dauphine University.
- D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
- E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- P00 - Economic Systems - - General - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-11-23 (All new papers)
- NEP-MAC-2003-11-23 (Macroeconomics)
- NEP-TRA-2003-11-23 (Transition Economics)
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