Fifty shades of QE revisited

Martin Weale and Tomasz Wieladek

Journal of Banking & Finance, 2024, vol. 166, issue C

Abstract: Fabo et al. (2021) use OLS regression to show that central bankers report quantitatively larger effects of QE on output and inflation than do academic researchers. We reject the null hypothesis of a Gaussian distribution of the residuals in many of these specifications, except for the language regressions. We then repeat the analysis with regression estimators that are robust to a non-Gaussian residual distribution where this is feasible. We use the median regression and the MS regression estimator. With these robust regression approaches, the null hypothesis that central bank and academic researchers report the same quantitative effect of QE on output and inflation cannot be rejected, with point estimates which are less than half as large. This statistical challenge suggests that more research is required to understand better whether central bank researchers report different QE multipliers or not.

Keywords: Monetary policy; Quantitative easing; Robust regression (search for similar items in EconPapers)
JEL-codes: E31 E52 E58 (search for similar items in EconPapers)
Date: 2024
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Working Paper: Fifty Shades of QE Revisited (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jbfina:v:166:y:2024:i:c:s0378426624001560

DOI: 10.1016/j.jbankfin.2024.107239

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