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129

Table 9.3

(Monthly)

Data for U.S. Commercial Loan Market January 1979-December 1984

251.8

11.75

9.25

150.8

9.35

994.3

255.6

11.75

9.26

151.5

9.32

1002.5

259.8

11.75

9.37

152.0

9.48

994.0

264.7

11.75

9.38

153.0

9.46

997.4

268.8

11.75

9.50

150.8

9.61

1013.2

274.6

11.65

9.29

152.4

9.06

1015.6

276.9

11.54

9.20

152.6

9.24

1012.3

280.5

11.91

9.23

152.8

9.52

1020.9

288.1

12.90

9.44

151.6

10.26

1043.6

288.3

14.39

10.13

152.4

11.70

1062.6

287.9

15.55

10.76

152.4

11.79

1058.5

295.0

15.30

11.31

152.1

12.64

1076.3

295.1

15.25

11.86

152.2

13.50

1063.1

298.5

15.63

12.36

152.7

14.35

1070.0

301.7

18.31

12.96

152.6

15.20

1073.5

302.0

19.77

12.04

152.1

13.20

1101.1

298.1

16.57

10.99

148.3

8.58

1097.1

297.8

12.63

10.58

144.0

7.07

1088.7

301.2

11.48

11.07

141.5

8.06

1099.9

304.7

11.12

11.64

140.4

9.13

1111.1

308.1

12.23

12.02

141.8

10.27

1122.2

315.6

13.79

12.31

144.1

11.62

1161.4

323.1

16.06

11.94

146.9

13.73

1200.6

330.6

20.35

13.21

149.4

15.49

1239.9

330.9

20.16

12.81

151.0

15.02

1223.5

331.3

19.43

13.35

151.7

14.79

1207.1

331.6

18.04

13.33

151.5

13.36

1190.6

336.2

17.15

13.88

152.1

13.69

1206.0

340.9

19.61

14.32

151.9

16.30

1221.4

345.5

20.03

13.75

152.7

14.73

1236.7

350.3

20.39

14.38

152.9

14.95

1221.5

354.2

20.50

14.89

153.9

15.51

1250.3

366.3

20.08

15.49

153.6

14.70

1293.7

361.7

18.45

15.40

151.6

13.54

1224.6

365.5

16.84

14.22

149.1

10.86

1254.1

361.4

15.75

14.23

146.3

10.85

1288.7



359.8

15.75

15.18

143.4

12.28

1251.5

364.6

16.56

15.27

140.7

13.48

1258.3

372.4

16.50

14.58

142.7

12.68

1295.0

374.7

16.50

14.46

141.5

12.70

1272.1

379.3

16.50

14.26

140.2

12.09

1286.1

386.7

16.50

14.81

139.2

12.47

1325.8

384.4

16.26

14.61

138.7

11.35

1307.3

384.5

14.39

13.71

138.8

8.68

1321.7

395.0

13.50

12.94

138.4

7.92

1335.5

393.7

12.52

12.12

137.3

7.71

1345.2

398.9

11.85

11.68

135.7

8.07

1358.1

395.3

11.50

11.83

134.9

7.94

1409.7

392.4

11.16

11.79

135.2

7.86

1385.4

392.3

10.98

12.01

137.4

8.11

1412.6

395.9

10.50

11.73

138.1

8.35

1419.5

393.5

10.50

11.51

140.0

8.21

1411.0

391.7

10.50

11.46

142.6

8.19

1413.1

395.3

10.50

11.74

144.4

8.79

1443.8

397.7

10.50

12.15

146.4

9.08

1438.1

400.6

10.89

12.51

149.7

9.34

1461.4

402.7

11.00

12.37

151.8

9.00

1448.9

405.3

11.00

12.25

153.8

8.64

1459.0

412.0

11.00

12.41

155.0

8.76

1499.4

420.1

11.00

12.57

155.3

9.00

1508.9

424.4

11.00

12.20

156.2

8.90

1504.1

428.8

11.00

12.08

158.5

9.09

1499.3

433.1

11.21

12.57

160.0

9.52

1494.5

439.7

11.93

12.81

160.8

9.69

1501.5

447.3

12.39

13.28

162.1

9.83

1541.3

452.9

12.60

13.55

162.8

9.87

1532.9

454.4

13.00

13.44

164.4

101.2

1535.5

455.2

13.00

12.87

165.9

10.47

1539.0

459.9

12.97

12.66

166.0

10.37

1549.9

467.7

12.58

12.63

165.0

9.74

1578.9

468.7

11.77

12.29

164.4

8.61

1578.2

476.8

11.06

12.13

164.8

8.06

1631.2

Source: Several issues of the Federal Reserve Bulletin. I would like to thank Walter Mayer for providing me with the data.

Table 9.3 (Cont.)



Table 9.4 OLS and 2SLS Estimates for the Demand-Supply Model of the Commercial Loan Market

OLS 2SLS

Coefficient

t-Ratio

Coefficient

t-Ratio

Demand function

-203.70

-2.9

-210.53

-2.8

-15.99

-12.0

-20.19

-12.6

-2.29

2.34

36.07

14.2

40.76

14.4

0.7804

0.7485

Supply function

«0

-77.41

-6.9

-87.97

-6.3

2.41

6.90

«2

-1.89

-1.8

-7.08

-3.1

«3

0.33

51.3

0.33

42.9

0.9768

0.9666

"For the 2SLS, the "r-ratio" is coefficient/asymptotic SE.

equation with respect to . Sometimes this is taken to mean that y, is the "dependent" variable in the first equation and y, is the "dependent" variable in the second equation. This is particularly so in the 2SLS method. Strictly speaking, this goes contrary to the spirit of simultaneous equation models because by definition y, and are jointly determined and we cannot label any single variable as the dependent variable in any equation. Of course, we have to assume the coefficient of one of the variables as 1 (i.e., normaUze with respect to one variable). But the method of estimation should be such that it should not matter which variable we choose for normalization. The early methods of estimation like full-information maximum likelihood (FIML) and limited-information maximum likelihood (LIML) satisfied this requirement. But the more popular method like 2SLS does not and is, strictly speaking, not in the spirit of simultaneous equations estimation. A discussion of FIML is beyond the scope of this book, but we discuss LIML in Section 9.8.

In practice, normalization is determined by the way the economic theories are formulated. For instance, in a macro model of income determination, although consumption and income are considered as jointly determined, we write the consumption function as

= a -b py + M

and not as

= a + PC + u



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