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arXiv · 2211.06707

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

Jan Ditzen·Yiannis Karavias·Joakim Westerlund
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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''.

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Jan Ditzen, Yiannis Karavias, Joakim Westerlund. 2022-11-12. Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending. https://arxiv.org/abs/2211.06707

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