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

Author

Listed:
  • Jan Ditzen

    (Free University of Bozen-Bolzano, Italy)

  • Yiannis Karavias

    (Department of Economics, University of Birmingham, UK)

  • Joakim Westerlund

    (Department of Economics, Lund University, Sweden and Deakin University, Melbourne, Australia)

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”.

Suggested Citation

  • Jan Ditzen & Yiannis Karavias & Joakim Westerlund, 2023. "Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending," BEMPS - Bozen Economics & Management Paper Series BEMPS99, Faculty of Economics and Management at the Free University of Bozen.
    • Handle: RePEc:bzn:wpaper:bemps99
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    References listed on IDEAS

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    More about this item

    Keywords

    Panel Data; Structural Breaks; Cross-Section Dependence; Bank Lending; Quantitative Easing.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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