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dc.contributor.authorPesaran, M. Hashemen
dc.contributor.authorSmith, Ron P.en
dc.date.accessioned2012-08-06-
dc.date.accessioned2012-08-20T10:37:25Z-
dc.date.available2012-08-20T10:37:25Z-
dc.date.issued2012-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x3879en
dc.subject.jelC18en
dc.subject.jelC54en
dc.subject.jelE65en
dc.subject.ddc330en
dc.subject.keywordcounterfactualsen
dc.subject.keywordpolicy evaluationen
dc.subject.keywordmacroeconomicsen
dc.subject.keywordquantitative easing (QE)en
dc.subject.keywordUK economic policyen
dc.subject.stwGeldpolitiken
dc.subject.stwWirkungsanalyseen
dc.subject.stwÖkonometrisches Makromodellen
dc.subject.stwSchätzungen
dc.subject.stwGroßbritannienen
dc.titleCounterfactual analysis in macroeconometrics: An empirical investigation into the effects of quantitative easing-
dc.typeWorking Paperen
dc.identifier.ppn720705274en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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