ECB’s QE has dampened volatility in Eastern Europe – BoI paper

The Bank of Italy

A working paper published by the Bank of Italy looks at how the European Central Bank’s purchase of assets has affected the economies of six countries in Eastern Europe.

In Asset price volatility in EU-6 economies: how large is the role played by the ECB?, Alessio Ciarlone and Andrea Colabella use a generalised autoregressive conditional heteroscedasticity, or Garch, model. They look at six states in the European Union but not the eurozone: Bulgaria, Croatia, the Czech Republic, Hungary, Poland

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