Event studies are very dangerous tools if you truly seek robust identification for policies that operate through expectational channels: Joseph Gagnon: QE Skeptics Overstate Their Case: "David Greenlaw, James Hamilton, Ethan Harris, and Kenneth West... argued that the consensus of previous studies overstates the effects of quantitative easing (QE) on long-term interest rates...

...conclude that (1) the lasting effect of QE1 was perhaps half as large as some prominent estimates, and (2) the effects of the remaining rounds of QE were either transient or negligible. Their paper relies on the "event study" methodology for measuring the effects of QE.... Arguably, the assumptions are not unreasonable for major news events concerning QE1, but they are clearly violated for subsequent rounds of QE...


#shouldread

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