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

Jan Ditzen, Yiannis Karavias and Joakim Westerlund

Papers from arXiv.org

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''.

Date: 2022-11, Revised 2023-01
New Economics Papers: this item is included in nep-ban, nep-cba and nep-ecm
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Related works:
Working Paper: Multiple structural breaks in interactive effects panel data and the impace of quantitative easing on bank lending (2023)
Working Paper: Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2211.06707

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