Jim Hamilton’s take on QE event studies is the best I have read. He deals well with the puzzle of correlation, and problem of identification.
I think what is more important, however, is Jim’s assessment that QE works (a bit). Bernanke put more QE back on the table last night. The road block to doing more now is the presently elevated rate of inflation – however if that starts to slow once again, and growth does not pick up substantially, i expect more QE.
My long standing prediction that the Fed’s first hike would be in 2014 is looking at risk of being too optimistic. Indeed, it is easier to see the Fed going the bank of England’s way and allowing inflation to pick up substantially – once the recovery actually gets some traction!