The Brexit vote and currency markets

Dao, Thong M.; McGroarty, Frank; Urquhart, Andrew

doi:10.1016/j.intfin.2018.11.004

Cited by 22 publications

(12 citation statements)

References 60 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Recent developments, such as BREXIT and financial crises, that promote uncertainty or even distrust in the conventional monetary or sovereign systems require more examinations of these cryptocurrencies. For example, Dao et al ( 2019 ) showed that BREXIT is associated with an increase in the correlations among safe-haven currencies (CHF and JPY) and a decrease in the correlation between GBP and EUR, which were directly involved in the BREXIT decision. For the latter two currencies, they also found a significant decrease of 64% in the transmission of volatility between GBP and EUR after the BREXIT decision.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Our study contributes to several evolving strands in the literature. First, we add to the studies dealing with the role of traditional safe-haven currencies in the framework of diversification and risk reduction under market stress (e.g., Fatum and Yamamoto 2016 ; Dao et al 2019 ; Urquhart and Zhang 2019 ). We analyze the connectedness of the commonly used safe-haven currencies with all the components of the sovereign yield curve and the most dominant cryptocurrency, Bitcoin.…”

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies

Aharon

Umar

2021

Financ Innov

View full text Add to dashboard Cite

This study examines the connectedness between the US yield curve components (i.e., level, slope, and curvature), exchange rates, and the historical volatility of the exchange rates of the main safe-haven fiat currencies (Canada, Switzerland, EURO, Japan, and the UK) and the leading cryptocurrency, the Bitcoin. Results of the static analysis show that the level and slope of the yield curve are net transmitters of shocks to both the exchange rate and its volatility. The exchange rate of the Euro and the volatility of the Euro and the Canadian dollar exchange rate are net transmitters of shocks. Meanwhile, the curvature of the yield curve and the Japanese Yen, Swiss Franc, and British Pound act mainly as net receivers. Our static connectedness analysis shows that Bitcoin is mainly independent of shocks from the yield curve’s level, slope, and curvature, and from any main currency investigated. These findings hint that Bitcoin might provide hedging benefits. However, similar to the static analysis, our dynamic analysis shows that during different periods and particularly in stressful times, Bitcoin is far from being isolated from other currencies or the yield curve components. The dynamic analysis allows us to observe Bitcoin’s connectedness in times of stress. Evidence supporting this contention is the substantially increased connectedness due to policy shocks, political uncertainty, and systemic crisis, implying no empirical support for Bitcoin’s safe-haven property during stress times. The increased connectedness in the dynamic analysis compared with the static approach implies that in normal times and especially in stressful times, Bitcoin has the property of a diversifier. The results may have important implications for investors and policymakers regarding their risk monitoring and their assets allocation and investment strategies.

show abstract

Section: Literature Reviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies

Aharon

Umar

2021

Financ Innov

View full text Add to dashboard Cite

show abstract

“…Brexit has been analysed from a wide range of angles including identifying reasons for the results of the referendum (Alabrese et al 2019;Arnorsson and Zoega 2018;Goodwin and Heath 2017); understanding how uncertainty associated with the Brexit referendum result may affect firms and industries (Hill et al 2019); the effect of Brexit on EU and UK stock markets and exchange rates (Bashir et al 2019;Dao et al 2019;Guedes et al 2019;Shahzad et al 2019); the effects of Brexit on trade (Dhingra et al 2017); the effects of Brexit on specific industries such as agriculture and seafood (Symes and Phillipson 2019); the potential impact of Brexit on the Pelagic Advisory Council to secure a long-term sustainable pelagic fisheries management (Ohms and Raakjaer 2019); and how Brexit may affect the health services in the UK (Fahy et al 2019).…”

Section: Introductionmentioning

confidence: 99%

The Role of Personality Traits, Cooperative Behaviour and Trust in Governments on the Brexit Referendum Outcome

Areal

2021

Social Sciences

View full text Add to dashboard Cite

We analyse the role of personality traits along with individuals’ cooperative behaviour, level of trust in the UK government and the European Council (EC, the body that defines the European Union’s overall political direction and priorities) and socio-demographics on UK citizens’ voting choices on the 2016 Brexit referendum. We use data from a survey conducted in April 2019 on 530 UK citizens who voted in the 2016 Brexit referendum. We use a Probit model to investigate what role voters’ personality traits, their trust in government institutions, their level of cooperative behaviour and socio-demographics played in the way they voted. We find voters’ choice was associated voters’ personality traits. In particular, voters associated with being extraverted, acting with self-confidence and outspokenness (i.e., agency), and voters’ closeness to experience, to forming part of a diverse community and the exchange of ideas and experiences were found to be associated with voting for Brexit in the 2016 referendum. We found that voters’ willingness to cooperate with others was associated with being less likely to vote for Brexit. In addition, voters who trusted the UK government were more likely to vote for Brexit, whereas voters trusting the EC were more likely to vote for the UK to stay in the EU. We also found that voters with relatively high level of education were less likely to vote for Brexit and voters not seeking jobs were more likely to vote for Brexit than students, unemployed and retired. We conclude that incorporating personality profiles of voters, their pro-social behaviour as well as their views on trust in politicians/government institutions, along with socio-demographic variables, into individuals’ vote choice analysis can account for voter heterogeneity and provide a more complete picture of an individual’s vote choice decisions, helping to gain a better understanding of individual vote choices (e.g., better predictions of future individual vote intentions).

show abstract

“…The choice of regulatory instruments is significantly influenced by the degree of liberalization of foreign exchange markets, which causes the effects after the opening of local markets, the effects of major markets and market closures [11]. These effects are related to the transfer of volatility between currencies, which clearly demonstrates the situation with Brexit [12].…”

Section: Methodsmentioning

confidence: 99%

Mechanisms of Currency Regulation of the National Economy in the Conditions of European Integration of Ukraine

Косова¹,

Tereshchenko²,

Tiesheva³

2021

Proceedings of the International Conference on Business, Accounting, Management, Banking, Economic Security and Legal Regulatio

View full text Add to dashboard Cite

The principles and directions of development of currency regulation in the conditions of its liberalization are determined. It is shown that the basis of the currency policy of the state is the regime of exchange rate formation. The positive consequences of Ukraine's transition to flexible exchange rate formation in terms of promoting automatic balance of payments, replacing its double deficit with a double surplus have been identified. The negative feature is a significant lead of the cumulative inflation index over the rate of depreciation of the national currency over the past five years, which reduces the price competitiveness of consumer goods of domestic production. During this period, there was an increase in international reserves against the background of the waiver of the mandatory sale of foreign exchange earnings of exporters and a significant excess of supply over demand in the foreign exchange market. The auxiliary role of foreign exchange interventions as instruments of monetary policy at the priority of the discount rate is revealed. The strengthening of the institutional capacity of currency regulation in Ukraine in the conditions of accession to the EU through the development of legal support, a positive impact on the balance of payments, the implementation of the BEPS agreement is proved.

show abstract

The Brexit vote and currency markets

Cited by 22 publications

References 60 publications

Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies

Dynamic spillovers between the term structure of interest rates, bitcoin, and safe-haven currencies

The Role of Personality Traits, Cooperative Behaviour and Trust in Governments on the Brexit Referendum Outcome

Mechanisms of Currency Regulation of the National Economy in the Conditions of European Integration of Ukraine

Contact Info

Product

Resources

About