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Economic policy uncertainty shocks, economic activity, and exchange rate adjustments
Tallinn Univ Technol, Estonia.
Warsaw Sch Econ, Poland.
Linköping University, Department of Management and Engineering, Economics. Linköping University, Faculty of Arts and Sciences.
2020 (English)In: Economics Letters, ISSN 0165-1765, E-ISSN 1873-7374, Vol. 186, article id 108765Article in journal (Refereed) Published
Abstract [en]

We investigate the impact of foreign and domestic economic policy uncertainty (EPU) shocks on the UK economy. Simulations with a structural VAR model indicate that domestic industrial production declines after a shock to the EPU index in the US. On the contrary, disturbances to domestic uncertainty are an important source of real exchange rate fluctuations. Historical decomposition shows that a surge in domestic EPU after Brexit referendum was the reason behind a massive depreciation of the British pound. These results are robust to different model specifications. (C) 2019 Elsevier B.V. All rights reserved.

Place, publisher, year, edition, pages
ELSEVIER SCIENCE SA , 2020. Vol. 186, article id 108765
Keywords [en]
Brexit; Globalization; Policy uncertainty; Real exchange rate; Structural vector autoregressions
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-163670DOI: 10.1016/j.econlet.2019.108765ISI: 000509616300004OAI: oai:DiVA.org:liu-163670DiVA, id: diva2:1393945
Note

Funding Agencies|Jan Wallander and Tom Hedelius Foundations, Sweden

Available from: 2020-02-17 Created: 2020-02-17 Last updated: 2020-02-17

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  • Other locale
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Output format
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