Event
Multiple Structural Breaks in Interactive Effects Panel Data and the Impact of Quantitative Easing on Bank Lending
A talk to discuss a published paper for a new toolbox
Wednesday 7 February 2024
Speaker: Professor Yiannis Karavias (Brunel University London)
Host: Dr Sisi Sung
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".
Read the full paper on the Cornell University website
Join us on Teams
Meeting ID: 385 041 552 003
Passcode: aULC2k