重温量化宽松的五十道阴影

IF 3.6 2区 经济学 Q1 BUSINESS, FINANCE
Martin Weale , Tomasz Wieladek
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引用次数: 0

摘要

Fabo 等人(2021 年)使用 OLS 回归表明,央行官员报告的量化宽松对产出和通胀的影响在数量上大于学术研究人员的报告。除语言回归外,我们拒绝了许多这些规范中残差呈高斯分布的零假设。然后,在可行的情况下,我们使用对非高斯残差分布具有稳健性的回归估计器重复分析。我们使用了中位回归和 MS 回归估计器。使用这些稳健回归方法后,央行和学术研究人员报告的量化宽松对产出和通胀的定量影响相同的零假设无法被拒绝,其点估计值不到一半。这一统计挑战表明,需要开展更多研究,以更好地了解央行研究人员是否报告了不同的量化宽松乘数。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Fifty shades of QE revisited

Fabo et al. (2021) use OLS regression to show that central bankers report quantitatively larger effects of QE on output and inflation than do academic researchers. We reject the null hypothesis of a Gaussian distribution of the residuals in many of these specifications, except for the language regressions. We then repeat the analysis with regression estimators that are robust to a non-Gaussian residual distribution where this is feasible. We use the median regression and the MS regression estimator. With these robust regression approaches, the null hypothesis that central bank and academic researchers report the same quantitative effect of QE on output and inflation cannot be rejected, with point estimates which are less than half as large. This statistical challenge suggests that more research is required to understand better whether central bank researchers report different QE multipliers or not.

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来源期刊
CiteScore
6.40
自引率
5.40%
发文量
262
期刊介绍: The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.
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