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Error Corrected Disequilibrium

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  • Holmberg, Ulf

    () (Department of Economics, Umeå University)

Abstract

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.

Suggested Citation

  • Holmberg, Ulf, 2012. "Error Corrected Disequilibrium," Umeå Economic Studies 837, Umeå University, Department of Economics.
  • Handle: RePEc:hhs:umnees:0837
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    References listed on IDEAS

    as
    1. Perez, Stephen J., 1998. "Testing for Credit Rationing: An Application of Disequilibrium Econometrics," Journal of Macroeconomics, Elsevier, pages 721-739.
    2. Maddala, G S & Nelson, Forrest D, 1974. "Maximum Likelihood Methods for Models of Markets in Disequilibrium," Econometrica, Econometric Society, vol. 42(6), pages 1013-1030, November.
    3. Amemiya, Takeshi, 1974. "A Note on a Fair and Jaffee Model," Econometrica, Econometric Society, vol. 42(4), pages 759-762, July.
    4. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, pages 111-120.
    5. Laffont, Jean-Jacques & Garcia, Rene, 1977. "Disequilibrium Econometrics for Business Loans," Econometrica, Econometric Society, vol. 45(5), pages 1187-1204, July.
    6. Nada Oulidi & Laurence Allain, 2009. "Credit Market in Morocco; A Disequilibrium Approach," IMF Working Papers 09/53, International Monetary Fund.
    7. 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.
    8. Goldfelfd, Stephen M. & Quandt, Richard E., 1975. "Estimation in a disequilibrium model and the value of information," Journal of Econometrics, Elsevier, pages 325-348.
    9. Gourieroux, C & Laffont, J-J & Monfort, A, 1980. "Disequilibrium Econometrics in Simultaneous Equations Systems," Econometrica, Econometric Society, vol. 48(1), pages 75-96, January.
    10. Fair, Ray C & Jaffee, Dwight M, 1972. "Methods of Estimation for Markets in Disequilibrium," Econometrica, Econometric Society, vol. 40(3), pages 497-514, May.
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    More about this item

    Keywords

    disequilibrium econometrics; error correction; clearing market; interest rates; credit market;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects

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