The impact of Brexit news on British pound exchange rates

Korus, Arthur; Celebi, Kaan

doi:10.1007/s10368-018-00423-0

Cited by 14 publications

(11 citation statements)

References 10 publications

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“…The Engle-Granger test of this first estimate implies that the null hypothesis of no cointegration can be rejected with the p-value 10 Monthly exchange rate data are extracted from the Monthly Monetary and Financial Statistics of the OECD database and recalculated to compile quarterly data by taking the mean of three months. 11 The impact of Brexit on British pound exchange rates has been investigated by Korus and Celebi (2019).…”

Section: Results For Exportsmentioning

confidence: 99%

Quo Vadis, Britain? – Implications of the Brexit process on the UK’s real economy

Celebi

2021

Int Econ Econ Policy

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Using the Panel Data Approach (PDA) of Hsiao et al. (2012) in combination with the LASSO method, this article aims to measure the effect of the Brexit process on the United Kingdom's real economy up to 2019Q2. The results are twofold: Firstly, compared to the existing literature, the PDA improves the measurement of the impact of Brexit on the real economy regarding computation intensity, the feasibility of statistical inference and a wider application area. Secondly, the estimated counterfactuals for the UK show that the Brexit process has played a crucial role in the UK's economy, leading to lower GDP (growth rates), lower private consumption, lower gross fixed capital formation (GFCF) and higher exports. On average, GDP growth has declined between 1.3 and 1.4 percentage points, whereby the cumulative loss ranges between 48 and 54 billion British pounds. Moreover, private consumption in the UK has declined 4.7 billion British pounds quarterly on average. The predicted counterfactuals show that the impact of the Brexit process on GFCF has begun in 2018Q1, whereby the average treatment effect amounts to -2.9 billion British pounds. The UK's exports increased since the referendum, most likely due to the depreciation of the British pound post-Brexit. The average quarterly effect of the Brexit process on exports is estimated here at 4.8 billion British pounds. Zusammenfassung:Unter Verwendung des Panel Data Approach (PDA) von Hsiao et al. (2012) in Kombination mit der LASSO-Methode zielt dieser Artikel darauf ab, die Auswirkungen des Brexit-Prozesses auf die Realwirtschaft des Vereinigten Königreichs bis 2019Q2 zu messen. Die Ergebnisse liefern zwei Erkenntnisse: Erstens verbessert der PDA im Vergleich zur bestehenden Literatur die Messung der Auswirkungen des Brexit auf die Realwirtschaft hinsichtlich der Rechenintensität, der Anwendbarkeit statistischer Inferenz und des breiteren Anwendungsbereichs. Zweitens zeigen die kontrafaktischen Schätzungen für das Vereinigte Königreich, dass der Brexit-Prozess eine entscheidende Rolle in der britischen Wirtschaft gespielt hat, was zu einem niedrigeren BIP (-Wachstum), einem geringeren privaten Konsum, geringeren Bruttoanlageinvestitionen und höheren Exporten geführt hat. Im Durchschnitt ist das BIP-Wachstum zwischen 1,3 und 1,4 Prozentpunkten zurückgegangen, wobei der kumulierte Verlust zwischen 48 und 54 Milliarden Britischen Pfund liegt. Darüber hinaus ist der private Konsum im Vereinigten Königreich durchschnittlich um 4,7 Milliarden Britische Pfund pro Quartal zurückgegangen. Die kontrafaktischen Schätzungen zeigen, dass die Auswirkungen des Brexit-Prozesses auf die Bruttoanlageinvestitionen im ersten Quartal des Jahres 2018 begonnen haben, wobei der durchschnittliche Effekt bei -2,9 Milliarden Britischen Pfund liegt. Die Exporte Großbritanniens haben seit dem Referendum zugenommen, was höchstwahrscheinlich auf die Abwertung des britischen Pfunds nach dem Brexit-Prozess zurückzuführen ist. Der durchschnittliche Effekt des Brexit-Prozesses auf die Exporte wird hierbei au...

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Section: Results For Exportsmentioning

confidence: 99%

Quo Vadis, Britain? – Implications of the Brexit process on the UK’s real economy

Celebi

2021

Int Econ Econ Policy

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“…Determinants of long‐term exchange rate fluctuation also include the relative labor productivity of different countries (Berka et al, 2018; Canzoneri et al, 1999), and the structural factors underlying each country's GDP, trade balance, and net foreign asset positions (Bergstrand, 1991; Clague, 1986; Faruqee, 1995; Kharrat et al, 2020). In the short‐run, numerous macro‐economic factors will affect the fluctuation of the exchange rate of one country's currency against those of other countries, including money supply (Cheung et al, 2019; Funashima, 2020), inflation (Ito & Sato, 2008), interest rate gap between domestic and foreign countries (Hansen & Hodrick, 1980; Schmitt‐Grohé & Uribe, 2022), international capital flows and capital controls (Calvo et al, 1993; Dooley & Isard, 1980), expectations (Mussa, 1982), political factors (Frieden, 1994; Korus & Celebi, 2019), foreign exchange interventions (Daude et al, 2016; Vargas‐Herrera & Villamizar‐Villegas, 2020), stock prices (Nusair & Olson, 2022), and news (Aquilante et al, 2022; Frenkel, 1982; Narayan et al, 2021). These factors will help estimate a benchmarking of the exchange rate of an economy.…”

Section: Literature Reviewmentioning

confidence: 99%

China–US economic and trade relations, trade news, and short‐term fluctuation of the RMB exchange rate

Wei

Chen

2022

Rev International Economics

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The trade war between the US and China affects the fluctuation of RMB exchange rate. We collect news on China-US trade policies and talks from January 2017 to July 2020. Results show that China-US dialogue and tariff imposition have the greatest impact on the percentage of RMB appreciation and depreciation. Additionally, tariff relaxation and increasing enterprise restrictions can cause a sharp appreciation and depreciation. "Policies" events and trade news from the US influence RMB fluctuations the most significantly. Finally, positive events cannot significantly cause RMB appreciation, but negative events can significantly cause RMB devaluation.

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“…Pilbeam ( 2019 ) shows that the Brexit referendum caused a significant depreciation of the British pound against both the US dollar and the euro. Moreover, analyzing the impact of Brexit-related news on the spot exchange rate of the British pound, Korus and Celebi ( 2019 ) find that “bad” Brexit news (higher probability of hard Brexit) are associated with a depreciation whereas “good” Brexit news appreciates the pound sterling against the euro.…”

Section: Introductionmentioning

confidence: 99%

The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit

Kadiric

2022

Int Econ Econ Policy

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This paper analyzes recent developments in the British and European government bond markets with reference to the UK’s decision to leave the European Union. The two main goals of the study are, firstly, to examine whether the Brexit referendum result has affected the risk premium and, secondly, whether there are any changes in risk pricing following the referendum. The paper finds a significant impact of the Brexit referendum on the risk premium in selected economies. Furthermore, the results suggest that there is a considerable change in risk pricing after the announcement of the referendum result. Credit default risk and the risk aversion play a much important role in the post-referendum period than they did prior to the vote, particularly in the UK.

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The impact of Brexit news on British pound exchange rates

Cited by 14 publications

References 10 publications

Quo Vadis, Britain? – Implications of the Brexit process on the UK’s real economy

Quo Vadis, Britain? – Implications of the Brexit process on the UK’s real economy

China–US economic and trade relations, trade news, and short‐term fluctuation of the RMB exchange rate

The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit

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