Brexit and its impact on EU financial markets

Sivaprasad, S., Muradoglu, Y.G., Pappas, V and Izzeldin,M 2022. Brexit and its impact on EU financial markets. 16th Annual Dynare Conference. Lancaster,UK 30 Jun - 01 Jul 2022

TitleBrexit and its impact on EU financial markets
AuthorsSivaprasad, S., Muradoglu, Y.G., Pappas, V and Izzeldin,M
TypeConference paper
Abstract

The paper introduces a Brexit intensity measure that assigns an intensity score reflective of the financial markets’ reaction on the events that occurred as Brexit negotiations began to unfold. Subsequently, we investigate the impact of Brexit on volatility spillovers across the EU countries. We find that Brexit related events have contributed towards increased volatility transmission within the EU. Country-wise investigations show that throughout the Brexit timespan, France is the key volatility transmitter within the Union. By contrast, the UK is evidenced as a volatility transmitter during the early stages of Brexit negotiations, under Theresa May as the prime minister. The smallest stock markets of the EU, Ireland, Portugal, and Spain have been amongst those particularly affected.

KeywordsBrexit
financial markets
Year2022
Conference16th Annual Dynare Conference

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