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Multiple structural breaks in interactive effects panel data and the impace of quantitative easing on bank lending

Jan Ditzen, Yiannis Karavias and Joakim Westerlund

Discussion Papers from Department of Economics, University of Birmingham

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''.

Keywords: Panel Data; Structural Breaks; Cross-Section Dependence; Bank Lending; Quantitative Easing (search for similar items in EconPapers)
JEL-codes: C13 C33 E52 E58 G21 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2023-01
New Economics Papers: this item is included in nep-ban
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Downloads: (external link)
https://repec.cal.bham.ac.uk/pdf/23-02.pdf

Related works:
Working Paper: Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending (2023) Downloads
Working Paper: Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending (2023) Downloads
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Persistent link: https://EconPapers.repec.org/RePEc:bir:birmec:23-02

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