Fifty Shades of QE Revisited

Fabo, Jancokova, Kempf and Pastor (2021) provide the first comparison of the effects of QE reported by central bank^[1] and academic researchers. They find that central bank researchers report larger inflation and output effects of QE than researchers in academia. Central bank researchers are more likely to report significant results, derive a career benefit from their work and use more positive language to describe their findings. In other words central bankers seem to be parti pris. The underlying tool used by Fabo et al (2021) is OLS regression and our concern is that this approach may lead to distortions when applied to data sets with outliers. This problem is not avoided by the use of robust standard errors.

[1] Our paper (Weale and Wieladek, 2016) was published while we worked at the Bank of England and is included in the study by Fabo et al. (2021). Haldane et al (2016) and Wieladek et al (2016) are included papers written by Tomasz Wieladek.