Should we use central bank asset purchase announcements and sign restrictions to quantify quantitative easing?
指出，在结构向量自回归模型中使用资产购买公告和符号限制来识别量化宽松冲击，会导致虚假的脉冲响应估计，并通过蒙特卡洛模拟和样本外证据表明Weale和Wieladek（2016）的结果是虚假的。
The empirical literature lacks a consensus on how to model quantitative easing (QE) within the structural vector autoregressive (SVAR) framework. As agents may anticipate central bank balance-sheet variables, the use of asset purchase announcements has become a common practice. I show that results derived from such SVAR models, typically identified with sign restrictions, should be cautiously interpreted. Structural shocks deemed to identify QE give rise to spurious impulse response estimates. • This research letter revisits the use of asset purchase announcements by Weale and Wieladek (2016) to quantify quantitative easing. • Monte Carlo simulations and pre-QE sample evidence indicate that spurious results arise from this QE indicator. • The findings strongly suggest that the results of Weale and Wieladek (2016) are spurious.