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Brexit and uncertainty in financial markets

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Authors and Corporations: Caporale, Guglielmo Maria (Author), Gil-Alaña, Luis A. (Author), Trani, Tommaso (Author)
Other Authors: Gil-Alaña, Luis A. [Author] • Trani, Tommaso [Author]
Type of Resource: E-Book
Language: English
Berlin DIW Berlin, German Institute for Economic Research 2018
Series: Deutsches Institut für Wirtschaftsforschung: Discussion papers ; 1719
Source: Verbunddaten SWB
Lizenzfreie Online-Ressourcen
Summary: This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound’s implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX, namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties of the series under investigation before and after the Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the EU to achieve an appropriate Brexit deal.
Physical Description: 1 Online-Ressource (circa 21 Seiten); Illustrationen