Center for Economic Research, Department of Economics, University of Minnesota
The purpose of this paper is threefold: (i) to develop various tests
of the equilibrium hypothesis using a partial price adjustment scheme in
disequilibrium, (ii) to estimate disequilibrium models of the business
loan markets in the United States and in Japan by the method proposed and
(iii) to compare the adjustment speeds of the prime rate and to test the
equilibrium hypothesis in each country. In the United States, the loan
market may be considered to be in equilibrium with the real interest rate
adjusting to market pressures. In Japan, the nominal rather than the real
interest rate is believed to adjust to the market pressure of disequilibrium
and the equilibrium hypothesis is rejected. Moreover, it is clear that the
prime rate adjusts more slowly in Japan than in the United States. Our
results support the popular view that the United States financial markets
are closer to equilibrium than their Japanese counterparts. However, there
is no evidence of different upward and downward adjustment speeds for
Ito, T. and Ueda, K., (1980), "Tests of the Equilibrium Hypothesis in Disequilibrium Econometrics: An International Comparison of Credit Rationing", Discussion Paper No. 119, Center for Economic Research, Department of Economics, University of Minnesota.
Ito, Takatoshi; Ueda, Kazuo.
Tests of the Equilibrium Hypothesis in Disequilibrium Econometrics: An International Comparison of Credit Rationing.
Center for Economic Research, Department of Economics, University of Minnesota.
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