Analysing the impact of Brexit on global uncertainty using functional linear regression with point of impact: the role of currency and equity markets

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dc.contributor.author Mangisa, Siphumlile
dc.contributor.author Das, Sonali
dc.contributor.author Gupta, Rangan
dc.date.accessioned 2023-07-10T10:29:48Z
dc.date.available 2023-07-10T10:29:48Z
dc.date.issued 2022-06
dc.description.abstract This paper studies the relationship between monthly economic uncertainty of 20 advanced and emerging markets, and two daily covariates, i.e., exchange rate and stock index, with particular emphasis on the relationship between the variables in response to the Brexit vote. We use a functional data approach supplemented with a point of impact structure to conduct a mixed-frequency analysis. We find that incorporating the point of impact, in this case the Brexit shock, is marginally important relative to models that ignore it. We also find that the exchange rate played a more important role than the equity market in transmitting the Brexit shock to cause heightened uncertainty in the 20 countries considered. Our results have important policy implications. en_US
dc.description.department Business Management en_US
dc.description.department Economics en_US
dc.description.librarian hj2023 en_US
dc.description.uri https://www.worldscientific.com/worldscinet/ser en_US
dc.identifier.citation Mangisa, S., Das, S. & Gupta, R. 2022, 'Analysing the impact of Brexit on global uncertainty using functional linear regression with point of impact: the role of currency and equity markets', The Singapore Economic Review, vol. 67, no. 04, pp. 1377-1388, doi : 10.1142/S0217590820460029. en_US
dc.identifier.issn 0217-5908 (print)
dc.identifier.issn 1793-6837 (online)
dc.identifier.other 10.1142/S0217590820460029
dc.identifier.uri http://hdl.handle.net/2263/91311
dc.language.iso en en_US
dc.publisher World Scientific Publishing en_US
dc.rights © 2022 World Scientific Publishing. Electronic version of an article published in The Singapore Economic Review, vol. 67, no. 04, pp. 1377-1388, 2022, doi : 10.1142/S0217590820460029. The original publication is available at : http://www.worldscientific.com/worldscinet/ser. en_US
dc.subject Functional data analysis en_US
dc.subject Point of impact en_US
dc.subject Brexit en_US
dc.subject Uncertainty en_US
dc.subject Currency and stock markets en_US
dc.subject SDG-08: Decent work and economic growth en_US
dc.title Analysing the impact of Brexit on global uncertainty using functional linear regression with point of impact: the role of currency and equity markets en_US
dc.type Postprint Article en_US


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