Credit Market Disequilibrium in Poland: Can We Find What We Expect? Non-Stationarity and the “Min”Condition
dc.contributor.author | Hurlin, Christophe | en_US |
dc.contributor.author | Kierzenkowski, Rafal | en_US |
dc.date.accessioned | 2006-08-01T15:43:35Z | |
dc.date.available | 2006-08-01T15:43:35Z | |
dc.date.issued | 2003-06-01 | en_US |
dc.identifier.other | RePEc:wdi:papers:2003-581 | en_US |
dc.identifier.uri | https://hdl.handle.net/2027.42/39967 | en_US |
dc.description.abstract | This paper presents an empirical investigation of the disequilibrium hypothesis on the Polish loan market in the 1990s. Using data over this period of deep transition, we estimate a disequilibrium model with a standard maximum likelihood method. However, the estimates are highly counter-intuitive as regards the timing of the identified regimes. We show that the gap between the econometric evidence and the expected results may stem from the issue of stochastic non-stationarity in a disequilibrium setting based on the “min” condition. We find that the omission of one non-stationary variable of the cointegrating space or the absence of a “structural” cointegrating relationship in one or both regimes lead to a spurious configuration. In such a case, using, wrongly, the standard likelihood function, derived under the hypothesis of stationarity, may lead to non-convergent estimates of structural parameters and, as a consequence, to a fallacious regimes identification. Therefore, as the first approach to this issue, we estimate a disequilibrium model with stationary data. The empirical results are then robust and economically founded and correspond to the set and the timing of anticipated regimes. | en_US |
dc.format.extent | 71332 bytes | |
dc.format.extent | 3151 bytes | |
dc.format.extent | 669247 bytes | |
dc.format.mimetype | text/plain | |
dc.format.mimetype | text/plain | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en_US | en_US |
dc.relation.ispartofseries | 581 | en_US |
dc.subject | Monetary Standard and Regimes, Non-stationarity and Cointegration, Transition, Poland. | en_US |
dc.subject.other | D50, E42, C32, P00 | en_US |
dc.title | Credit Market Disequilibrium in Poland: Can We Find What We Expect? Non-Stationarity and the “Min”Condition | en_US |
dc.type | Working Paper | en_US |
dc.subject.hlbsecondlevel | Economics | en_US |
dc.subject.hlbtoplevel | Business | en_US |
dc.description.bitstreamurl | http://deepblue.lib.umich.edu/bitstream/2027.42/39967/3/wp581.pdf | en_US |
dc.owningcollname | William Davidson Institute (WDI) - Working Papers |
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