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Credit Market Disequilibrium in Poland: Can We Find What We Expect? Non-Stationarity and the ???Min???Condition

Author

Listed:
  • Christophe Hurlin
  • Rafal Kierzenkowski
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.

Suggested Citation

  • Christophe Hurlin & Rafal Kierzenkowski, 2003. "Credit Market Disequilibrium in Poland: Can We Find What We Expect? Non-Stationarity and the ???Min???Condition," William Davidson Institute Working Papers Series 2003-581, William Davidson Institute at the University of Michigan.
    • Handle: RePEc:wdi:papers:2003-581
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    References listed on IDEAS

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    1. Sealey, C W, Jr, 1979. "Credit Rationing in the Commercial Loan Market: Estimates of a Structural Model under Conditions of Disequilibrium," Journal of Finance, American Finance Association, vol. 34(3), pages 689-702, June.
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    5. Kim, Hyun E., 1999. "Was the credit channel a key monetary transmission mechanism following the recent financial crisis in the Republic of Korea?," Policy Research Working Paper Series 2103, The World Bank.
    6. repec:bla:scandj:v:95:y:1993:i:1:p:43-64 is not listed on IDEAS
    7. Ceyla PazarbaÅŸioÄŸlu, 1997. "A Credit Crunch? Finland in the Aftermath of the Banking Crisis," IMF Staff Papers, Palgrave Macmillan, vol. 44(3), pages 315-327, September.
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    Cited by:

    1. repec:zbw:bofitp:2006_008 is not listed on IDEAS
    2. Fabrizio Coricelli & Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission in Central and Eastern Europe: Gliding on a Wind of Change," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 44-87.
    3. Luc Bauwens & Michel Lubrano, 2007. "Bayesian Inference in Dynamic Disequilibrium Models: An Application to the Polish Credit Market," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 469-486.
    4. Holmberg, Ulf, 2012. "Error Corrected Disequilibrium," Umeå Economic Studies 837, Umeå University, Department of Economics.
    5. Edwige Burdeau, 2015. "Assessing dynamics of credit supply and demand for French SMEs, an estimation based on the Bank Lending Survey," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Indicators to support monetary and financial stability analysis: data sources and statistical methodologies, volume 39, Bank for International Settlements.
    6. Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Transition Economies: Surveying the Surveyable," MNB Working Papers 2006/5, Magyar Nemzeti Bank (Central Bank of Hungary).
    7. Coricelli, Fabrizio & Égert, Balázs & MacDonald, Ronald, 2006. "Monetary transmission mechanism in Central and Eastern Europe: gliding on a wind of change," BOFIT Discussion Papers 8/2006, Bank of Finland Institute for Emerging Economies (BOFIT).
    8. Fabrizio Coricelli & Balázs Égert & Ronald MacDonald, 2006. "Monetary Transmission Mechanism in Central & Eastern Europe: Gliding on a Wind of Change," William Davidson Institute Working Papers Series wp850, William Davidson Institute at the University of Michigan.

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    More about this item

    Keywords

    monetary standard and regimes; non-stationarity and cointegration; transition; Poland.;
    All these keywords.

    JEL classification:

    • D50 - Microeconomics - - General Equilibrium and Disequilibrium - - - General
    • E42 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Monetary Sytsems; Standards; Regimes; Government and the Monetary System
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • P00 - Political Economy and Comparative Economic Systems - - General - - - General

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