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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Year of publication:	2012-02-17
Authors:	Holmberg, Ulf
Institutions:	Institutionen för Nationalekonomi, Umeå Universitet
Subject:	disequilibrium econometrics \| error correction \| clearing market \| interest rates \| credit market

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Extent:	application/pdf
Series:	Umeå Economic Studies.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Umeå Economic Studies Number 837 15 pages
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C51 - Model Construction and Estimation ; D53 - Financial Markets ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009493550