G2TT
来源类型CEPS Working Documents
规范类型论文
Policy Uncertainty and International Financial Markets: The case of Brexit
Ansgar Belke; Irina Dubova; Thomas Osowski
发表日期2016-11-29
出处Britain and the EU
出版年2016
语种英语
摘要

By analysing this impact of the uncertainty caused by Brexit on both the UK and international financial markets, this team of distinguished economists aims to gain some insight into market expectations about the magnitude of the economic impact beyond the UK and which other countries might be affected.

This study assesses the impact of the uncertainty caused by Brexit on both the UK and international financial markets, for the first and second statistical moments (i.e. on the changes and standard deviations of the respective variables). Since financial markets are by their nature highly interlinked, the uncertainty engendered by Brexit is also likely to have an impact on financial markets in several other countries. The authors first use both the Diebold and Yilmaz (2012) and the Hafner and Herwartz (2008) method to estimate the time-varying interactions between UK policy uncertainty, which is largely is attributed to uncertainty about Brexit, and UK financial market volatilities (second statistical moment) to try and identify the direction of causality among them. Second, they use two other measures of the perceived probability of Brexit before the referendum, namely daily data released by Betfair and results of polls published by Bloomberg. Based on these datasets, and using both panel and single-country SUR (seemingly unrelated regressions) estimation methods, the authors analyse the Brexit effect on levels of stock returns, sovereign credit default swaps (CDS), 10-year interest rates in 19 predominantly European countries, and those of the British pound and the euro (first statistical moment). They show that Brexit-induced policy uncertainty will continue to cause instability in key financial markets and has the potential to damage the real economy in both the UK and other European countries, even in the medium run. The main losers outside the UK are the ‘GIIPS’ economies: Greece, Ireland, Italy, Portugal and Spain.

Authors: Ansgar Belke, Irina Dubova and Thomas Osowski

Series: CEPS Working Document No. 429    No. of pages: 39

主题Economy and Finance
URLhttps://www.ceps.eu/publications/policy-uncertainty-and-international-financial-markets-case-brexit
来源智库Centre for European Policy Studies (Belgium)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/62866
推荐引用方式
GB/T 7714
Ansgar Belke,Irina Dubova,Thomas Osowski. Policy Uncertainty and International Financial Markets: The case of Brexit. 2016.
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