Error Corrected Disequilibrium

Ulf Holmberg ()

No 837, Umeå Economic Studies from Umeå University, Department of Economics

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.

Keywords: disequilibrium econometrics; error correction; clearing market; interest rates; credit market (search for similar items in EconPapers)
JEL-codes: C12 C13 C51 D53 E43 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2012-02-17
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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