ECB'S non‐standard monetary policy and asset price volatility: Evidence from EU‐6 economies

In this paper, we provide evidence that the effects of the different waves of asset purchase programmes implemented by the ECB from 2009 onwards have spilled over into a group of six Central and Eastern European economies belonging to the EU but not to the euro area, contributing to shield their financial markets from the negative shocks that hit international investors' degree of risk aversion in recent years. By means of a Dynamic Conditional Correlation Multivariate Generalized Autoregressive Conditional Heteroskedasticity Model, and resorting to three different proxies to describe the functioning, and measure the impact, of the ECB's programmes of asset purchase, we show that such non‐standard monetary measures have had a marked role in dampening volatility spikes in EU‐6 financial markets, likely reflecting the working of a “risk taking” and a “liquidity” channel of transmission. Results are in general robust to an extensive series of tests, including changes in the estimation methodology.