IDEAS home Printed from https://ideas.repec.org/a/taf/apeclt/v30y2023i8p1134-1138.html
   My bibliography  Save this article

Quantitative easing and systemic risk in the post-Lehman era

Author

Listed:
  • Costas Karfakis
  • Ioannis Karfakis

Abstract

This paper tests the likely efficacy of the Fed’s unconventional monetary policies adopted in the post-Lehman era to affect market optimism by examining the response of systemic risk in the U.S. financial system, measured by the St. Louis Fed’s Financial Stress index, to changes in the Fed’s total assets and the monetary base. In the context of a state-space VAR model, this research reveals that the growth rates of total assets and monetary base have predictive content for the financial stress index with a negative sign, implying that quantitative easing policies have contributed significantly to lower systemic risk, by affecting market optimism.

Suggested Citation

  • Costas Karfakis & Ioannis Karfakis, 2023. "Quantitative easing and systemic risk in the post-Lehman era," Applied Economics Letters, Taylor & Francis Journals, vol. 30(8), pages 1134-1138, May.
    • Handle: RePEc:taf:apeclt:v:30:y:2023:i:8:p:1134-1138
    DOI: 10.1080/13504851.2022.2039359
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/13504851.2022.2039359
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/13504851.2022.2039359?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apeclt:v:30:y:2023:i:8:p:1134-1138. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAEL20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.