EconPapers    
Economics at your fingertips  
 

Policy uncertainty and international financial markets: the case of Brexit

Ansgar Belke, Irina Dubova and Thomas Osowski

Applied Economics, 2018, vol. 50, issue 34-35, 3752-3770

Abstract: This study assesses the impact of the Brexit probability on both the UK and on international financial markets, for the first and the second statistical moments. As financial markets are by nature highly interlinked, one might expect that the uncertainty engendered by Brexit also has an impact on financial markets in several other countries. We first estimate the time-varying interactions between UK policy uncertainty, which to a large extent is attributed to uncertainty about Brexit and UK financial market volatilities. Second, we 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 data sets, and using both panel and single-country SUR estimation methods, we analyse the Brexit effect on levels of stock returns, sovereign CDS, 10-year interest rates in 19 predominantly European countries, and those of the British pound and the euro. We 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. The main losers outside the UK are the ‘GIIPS’ economies: Greece, Ireland, Italy, Portugal and Spain.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (11) Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2018.1436152 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Policy Uncertainty and International Financial Markets: The case of Brexit (2016) Downloads
Working Paper: Policy uncertainty and international financial markets: the case of Brexit (2016) Downloads
Working Paper: Policy uncertainty and international financial markets: The case of Brexit (2016) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:50:y:2018:i:34-35:p:3752-3770

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2018.1436152

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

 
Page updated 2021-02-25
Handle: RePEc:taf:applec:v:50:y:2018:i:34-35:p:3752-3770