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Should we use central bank asset purchase announcements and sign restrictions to quantify quantitative easing?

Roland von Campe

Economics Letters2026https://doi.org/10.1016/j.econlet.2026.112843article
AJG 3ABDC A
Weight
0.50

Abstract

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.

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https://doi.org/https://doi.org/10.1016/j.econlet.2026.112843

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@article{roland2026,
  title        = {{Should we use central bank asset purchase announcements and sign restrictions to quantify quantitative easing?}},
  author       = {Roland von Campe},
  journal      = {Economics Letters},
  year         = {2026},
  doi          = {https://doi.org/https://doi.org/10.1016/j.econlet.2026.112843},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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