Error Corrected Disequilibrium
(English)Manuscript (preprint) (Other academic)
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.
disequilibrium econometrics, error correction, clearing market, interest rates, credit market
Research subject Econometrics
IdentifiersURN: urn:nbn:se:umu:diva-53490OAI: oai:DiVA.org:umu-53490DiVA: diva2:512722