Journal of Economic Theory and Econometrics: Journal of the Korean Econometric Society
Home

About this journal
   Aims and scope

   Editorial board

Submit your article

Archive

Search

Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Brexit and Time Dependence and Asymmetry of Dollar-Euro and Pound-Euro Exchange Rates

Vol.31, No.1, March , 66–96


English Version |  Korean Version
  •   (Pusan National University)

PDF
Abstract  

This paper analyzes the recent realized volatility and jump of US Dollar/Euro and UK Pound/Euro returns using the high frequency five minute with the nonparametric estimation during years 2010-2018 including year 2016 of UK's national vote of Brexit. The empirical results show that before Brexit vote in year 2016 the Bipower volatilities of US Dollar/Euro and UK Pound/Euro returns have the time dependence effects such as daily and monthly effects, but they do not have weekly effects. But, they have asymmetrical properties on real rate of returns. However, after Brexit vote in year 2016 Bipower volatilities of US Dollar/Euro and UK Pound/Euro returns have only daily effects, but they do not have weekly and monthly effects. Furthermore, they do not have asymmetrical properties on real rate of returns. Before Brexit vote in year 2016, the Bipower jumps of US Dollar/Euro returns were not affected by the previous jumps and they do not have asymmetrical properties. Before Brexit vote in year 2016, Bipower jumps of UK Pound/Euro returns were not affected by the previous rates of returns, but after Brexit vote, jumps of UK Pound/Euro returns were affected by the previous rates of returns. Jumps of UK Pound/Euro returns do not have asymmetrical effects of previous rates of returns and jumps.


Keywords
   Brexit, Exchange Rate, Time Dependence, Volatility, Jump

JEL classification codes
   G10, G30
Links

KCI list
Korean ES
JETEM at SCOPUS

Powered by MathJax