XVIth ESCB Emerging Markets Workshop Discussion of paper by Ciarlone and Colabella - “Asset price volatility in EU-6 economies: how large is the role played by the ECB?” John Beirne European Central Bank XVIth ESCB Emerging Markets Workshop Banca d’Italia 22-23 November 2018

Main elements of paper Paper examines volatility spillovers to asset markets in the EU-6 economies due to the ECB. Dampening (negative) effects found across stock, bond and fx markets. Results rationalised based on risk-taking and liquidity transmission channels. Timely paper and of policy relevance. New strand of the literature. Econometric work soundly implemented.

Issues for discussion More focus to the paper. Is there really a reasonable prior for volatility effects from the ECB asset purchases to the EU-6? Significant negative effects are apparent in around half the cases. Volatility spillovers from abroad pose vulnerabilities regardless of the direction of the effect. Economic significance needs more consideration. What about capital inflows to the EU-6?

Issues for discussion Do macrofundamentals and openness matter? e.g. worsening CAB, higher volatility; higher openness, higher volatility Time variation in spillover effects?