Assessing the Effects of the Global Financial Cycle on Eurozone's Financial Stress: Does the Quantitative Easing Matter?

Costas Karfakis () and Ioannis Karfakis ()
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Costas Karfakis: Department of Economics, University of Macedonia
Ioannis Karfakis: Business Discipline, London School of Science and Technology, Memo House, London, England, W3 0XA, UK

Discussion Paper Series from Department of Economics, University of Macedonia

Abstract: This paper examines whether the expanded Quantitative Easing policies of the European Central Bank during the period 2015-2022 have influenced the impact of the Global Financial Cycle (GFC) on the Eurozone’s financial stress. The threshold regression reveals that these policies implementation has reduced the impact of GFC on financial stress in the post-2015 period, and thus contributed to lower systemic risk. The impulse responses of the quantile regression show that a global risk aversion shock does not have persistent effects on the financial stress distribution, and thus the GFC would not “set the tone†of Eurozone's financial conditions.

Keywords: Quantitative easing; financial stress, global financial cycle, systemic risk; balance sheet; threshold regression; quantile regression analysis (search for similar items in EconPapers)
JEL-codes: E52 E58 G15 (search for similar items in EconPapers)
Date: 2024-01, Revised 2024-01
New Economics Papers: this item is included in nep-ban, nep-cba, nep-eur, nep-ifn and nep-mon
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