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dc.contributor.authorPesaran, M. Hashemen_US
dc.contributor.authorSmith, Ron P.en_US
dc.date.accessioned2012-08-06en_US
dc.date.accessioned2012-08-20T10:37:25Z-
dc.date.available2012-08-20T10:37:25Z-
dc.date.issued2012en_US
dc.identifier.urihttp://hdl.handle.net/10419/61026-
dc.description.abstractThis paper is concerned with ex ante and ex post counterfactual analyses in the case of macroeconometric applications where a single unit is observed before and after a given policy intervention. It distinguishes between cases where the policy change affects the model's parameters and where it does not. It is argued that for ex post policy evaluation it is important that outcomes are conditioned on ex post realized variables that are invariant to the policy change but nevertheless influence the outcomes. The effects of the control variables that are determined endogenously with the policy outcomes can be solved out for the policy evaluation exercise. An ex post policy ineffectiveness test statistic is proposed. The analysis is applied to the evaluation of the effects of the quantitative easing (QE) in the UK after March 2009. It is estimated that a 100 basis points reduction in the spread due to QE has an impact effect on output growth of about one percentage point, but the policy impact is very quickly reversed with no statistically significant effects remaining within 9-12 months of the policy intervention.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo Working Paper: Empirical and Theoretical Methods 3879en_US
dc.subject.jelC18en_US
dc.subject.jelC54en_US
dc.subject.jelE65en_US
dc.subject.ddc330en_US
dc.subject.keywordcounterfactualsen_US
dc.subject.keywordpolicy evaluationen_US
dc.subject.keywordmacroeconomicsen_US
dc.subject.keywordquantitative easing (QE)en_US
dc.subject.keywordUK economic policyen_US
dc.subject.stwGeldpolitiken_US
dc.subject.stwWirkungsanalyseen_US
dc.subject.stwÖkonometrisches Makromodellen_US
dc.subject.stwSchätzungen_US
dc.subject.stwGroßbritannienen_US
dc.titleCounterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easingen_US
dc.typeWorking Paperen_US
dc.identifier.ppn720705274en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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