Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/30725

Title:	Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending
Authors:	Ditzen, J Karavias, Y Westerlund, J
Keywords:	econ.EM;econ.EM
Issue Date:	12-Nov-2022
Publisher:	Cornell University
Citation:	Ditzen, J., Karavias, Y. and Westerlund, J. (2022) 'Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending', arXiv preprint, arXiv:2211.06707v2 [econ.EM], pp. 1 - xx. doi: https://doi.org/10.48550/arXiv.2211.06707.
Abstract:	This paper develops a new toolbox for multiple structural break detection in panel data models with interactive effects. The toolbox includes tests for the presence of structural breaks, a break date estimator, and a break date confidence interval. The new toolbox is applied to a large panel of US banks for a period characterized by massive quantitative easing programs aimed at lessening the impact of the global financial crisis and the COVID--19 pandemic. The question we ask is: Have these programs been successful in spurring bank lending in the US economy? The short answer turns out to be: ``No''.
Description:	JEL classification: C13; C33; E52; E58; G21.
URI:	https://bura.brunel.ac.uk/handle/2438/30725
DOI:	https://doi.org/10.48550/arXiv.2211.06707
Other Identifiers:	ORCiD: Yiannis Karavias https://orcid.org/0000-0002-1208-5537 arXiv:2211.06707v2 [econ.EM]
Appears in Collections:	Dept of Economics and Finance Research Papers

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