Error Corrected Disequilibrium
We derive an econometric disequilibrium model for time series data. This is done by error correcting the supply of some good. The model naturally separates between a continuously clearing market and a clearing market in the long-run such that we are able to obtain a novel test of clearing markets. We apply the model to the Swedish market for short-term business loans, and find that this market is characterized by a long-run non-market clearing equilibrium.
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- 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.
- 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.
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