Brexit Associated Sharp Depreciation and Implications for UK's Inflation and Balance of Payments

Nasir, Muhammad; Simpson, Justine

doi:10.2139/ssrn.3020669

Cited by 5 publications

(6 citation statements)

References 11 publications

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“…More recently, Junior (2017) supported the notion of a decline in ERPT because of I.T., but also cautioned that it should be not be inferred that the ERPT has become "non-existent". On the contrary, recent empirical evidence on the ERPT and I.T has strongly refuted this line of reasoning (Nasir and Simpson, 2018;Forbes et al 2017;Forbes, 2016) and has shown that, in fact, ERPT has increased in inflation-targeting countries (Nasir and Vo, 2018).…”

Section: Introductionmentioning

confidence: 99%

“…The assertions byPosen (2011) are required to be tested against the empirical evidence , as one may also argue that if the inflation expectation had been strongly anchored then the recent exchange rate shocks in the UK would not have caused the surge in inflation and the weak performance of the Bank of England's forecast(Broadbent, 2017;Nasir, 2017b;Haldane, 2017 andSimpson, 2018 ).…”

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confidence: 99%

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Exchange rate pass-through & management of inflation expectations in a small open inflation targeting economy

Nasir

Huynh

2020

International Review of Economics & Finance

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In the context of inflation targeting, this study analyses the exchange rate pass-through (ERPT) to inflation expectations in a small open inflation targeting economy. We also augment the inflation expectations function with GDP, inflation, unemployment, fiscal stance, oil prices and money supply. Drawing on the data from May 1999 to Dec 2018 on the Czech Republic, which was the first developing country to adopt inflation targeting, our key results suggest that ERPT has significant implications for inflation expectations. Inflation expectations are also strongly influenced by actual inflation and past inflation expectations suggesting evidence of adaptive expectations. Economic growth, labour market outlook, money supply, oil price shocks and fiscal stance also showed a considerable impact on inflation expectations, though results varied in the short and long run. Our study contributes to the debate on ERPT and inflation targeting by reflecting on the inflation expectations channel.

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Section: Introductionmentioning

confidence: 99%

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confidence: 99%

Exchange rate pass-through & management of inflation expectations in a small open inflation targeting economy

Nasir

Huynh

2020

International Review of Economics & Finance

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“…the EPU indices show an upward trend. By looking at the average changes in uncertainties, we also found some highlighted economic events, which have been directed to some countries and areas (for instance, the US-China trade war (Burggraf et al, 2020), the negative effects of Brexit (Nasir and Simpson, 2018), and the COVID-19 pandemic and its impacts on financial markets (Schell et al, 2020;Huynh et al, 2021a;Dai et al, 2021b)).…”

Section: Data Sourcementioning

confidence: 88%

“Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices

Foglia

Dai

2021

JABES

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PurposeThe purpose of this paper is to extend the literature on the spillovers across economic policy uncertainty (EPU) and cryptocurrency uncertainty indices.Design/methodology/approachThis paper uses cross-country economic policy uncertainty indices and the novel data measuring the cryptocurrency price uncertainties over the period 2013–2021 to construct a sample of 946 observations and applies the time-varying parameter vector autoregression (TVP-VAR) model to do an empirical study.FindingsThe findings suggest that there are cross-country spillovers of economic policy uncertainty. In addition, the total uncertainty spillover between economic policies and cryptocurrency peaked in 2015 before gradually decreasing in the following periods. Concomitantly, the cryptocurrency uncertainty has acted as the “receiver.” More importantly, the authors found the predictive power of economic policy uncertainty to predict the cryptocurrency uncertainty index. This paper’s results hold robust when using alternative measurement of cryptocurrency policy uncertainty.Originality/valueThis study is the first research that deeply investigates the association between two uncertainty indicators, namely economic policy uncertainty and the cryptocurrency uncertainty index. We provide fresh evidence about the dynamic connectedness between country-level economic policy uncertainty and the cryptocurrency index. Our work contributes a new channel driving the variants of uncertainties in the cryptocurrency market.

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“…Second, the classical maximum likelihood is related to the high dimensionality and nonlinearity of the problem which could be an issue due to the reason that a complicated model often accompanies a likelihood with multiple peaks, some of which not much of interest or in the region of the parameter space which is not plausible 17 . Lastly, the pragmatism of this approach, the Bayesian approach very efficiently treats the nonlinearities in the model as well as the high dimension of the parameter space (Nasir, Rizvi, & Rossi, 2018; Nasir & Simpson, 2018; Primiceri, 2005).…”

Section: Methodsmentioning

confidence: 99%

Development of Vietnamese stock market: Influence of domestic macroeconomic environment and regional markets

et al. 2020

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This study has analysed the role of the domestic economic environment and regional markets (Thailand, Japan, Hong Kong and China) in explaining the dynamics of Vietnamese stock market. In so doing, we employed a time‐varying structural vector autoregression framework which accounts for time variations (in coefficients as well as in the variance–covariance matrix of innovations) on the data from July 2000 to December 2016. Our key findings suggested that the easing of monetary and credit conditions, stable and stronger currency and economic growth have played a significant and positive role in the development of the stock market in Vietnam. Inflation shocks did have a negative impact which implied that in policy setting the price stability is very important for the financial stability in Vietnam. The Vietnamese stock market is also heavily influenced by the regional markets, as there is strong evidence of co‐movement. However, it was also witnessed that despite having a similar direction of impact and co‐movement, different markets have an influence of different degrees and intensity on the Vietnamese stock market. Lastly, we also witnessed that as compared to the Global Financial Crisis, the recent periods showed comparatively lesser responsiveness. This could be associated with the intensive reaction during the period of financial turmoil as well as with an increase in the stability of the Vietnamese stock market as it matures.

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Brexit Associated Sharp Depreciation and Implications for UK's Inflation and Balance of Payments

Cited by 5 publications

References 11 publications

Exchange rate pass-through & management of inflation expectations in a small open inflation targeting economy

Exchange rate pass-through & management of inflation expectations in a small open inflation targeting economy

“Ubiquitous uncertainties”: spillovers across economic policy uncertainty and cryptocurrency uncertainty indices

Development of Vietnamese stock market: Influence of domestic macroeconomic environment and regional markets

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