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http://bura.brunel.ac.uk/handle/2438/30725Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Ditzen, J | - |
| dc.contributor.author | Karavias, Y | - |
| dc.contributor.author | Westerlund, J | - |
| dc.date.accessioned | 2025-02-13T17:38:49Z | - |
| dc.date.available | 2025-02-13T17:38:49Z | - |
| dc.date.issued | 2022-11-12 | - |
| dc.identifier | ORCiD: Yiannis Karavias https://orcid.org/0000-0002-1208-5537 | - |
| dc.identifier | arXiv:2211.06707v2 [econ.EM] | - |
| dc.identifier.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. | en_US |
| dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/30725 | - |
| dc.description | JEL classification: C13; C33; E52; E58; G21. | en_US |
| dc.description.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''. | en_US |
| dc.description.sponsorship | Ditzen acknowledges financial support from Italian Ministry MIUR under the PRIN project Hi-Di NET Econometric Analysis of High Dimensional Models with Network Structures in Macroeconomics and Finance (grant 2017TA7TYC). Westerlund would like to thank the Knut and Alice Wallenberg Foundation for financial support through a Wallenberg Academy Fellowship. | en_US |
| dc.format.extent | 1 - 45 | - |
| dc.format.medium | Electronic | - |
| dc.language.iso | en_US | en_US |
| dc.publisher | Cornell University | en_US |
| dc.rights | Attribution 4.0 International | - |
| dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | - |
| dc.subject | econ.EM | en_US |
| dc.subject | econ.EM | en_US |
| dc.title | Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending | en_US |
| dc.type | Preprint | en_US |
| dc.identifier.doi | https://doi.org/10.48550/arXiv.2211.06707 | - |
| dc.rights.license | https://creativecommons.org/licenses/by/4.0/legalcode.en | - |
| dc.rights.holder | The Author(s) | - |
| Appears in Collections: | Dept of Economics and Finance Research Papers | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Preprint-v2.pdf | Copyright © 2022 The Author(s). This work is licensed under a Creative Commons Attribution 4.0 International License (https://creativecommons.org/licenses/by/4.0/). | 2.76 MB | Adobe PDF | View/Open |
This item is licensed under a Creative Commons License
