This study assesses the impact of the Brexit probability on both the UK and on international
financial markets, for the first and the second statistical moments. As financial markets are by
nature highly interlinked, one might expect that the uncertainty engendered by Brexit also
has an impact on financial markets in several other countries. We first estimate the time-
varying interactions between UK policy uncertainty, which to a large extent is attributed to
uncertainty about Brexit and UK financial market volatilities. Second, we use two other …

By analysing this impact of the uncertainty caused by Brexit on both the UK and international
financial markets, this team of distinguished economists aims to gain some insight into
market expectations about the magnitude of the economic impact beyond the UK and which
other countries might be affected. This study assesses the impact of the uncertainty caused
by Brexit on both the UK and international financial markets, for the first and second
statistical moments (ie on the changes and standard deviations of the respective variables) …