  We investigate the presence of sign and size non-linearities in the impact of
the European Central Bank$^\prime$s Anti-Fragmentation Policy on non-ERM II, EU
countries. After identifying three orthogonal monetary policy shock using the
method of Fanelli and Marsi [2022], we then select an optimal specification and
estimate both linear and non linear impulse response functions using local
projections (Dufour and Renault [1998], Goncalves et al. [2021]). The choice of
non-linear transformations to separate sign and size effects is based on
Caravello and Martinez-Bruera [Working Paper, 2024]. Lastly we compare the
linear model to the non-linear ones using a battery of Wald tests and find
significant evidence of sign non-linearities in the international spillovers of
ECB policy.
