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Error Corrected Disequilibrium

Author

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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

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    Cited by:

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    More about this item

    Keywords

    disequilibrium econometrics; error correction; clearing market; interest rates; credit market;
    All these keywords.

    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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