Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/311754 
Authors: 
Year of Publication: 
2022
Citation: 
[Journal:] International Economics and Economic Policy [ISSN:] 1612-4812 [Volume:] 19 [Issue:] 2 [Publisher:] Springer [Place:] Berlin, Heidelberg [Year:] 2022 [Pages:] 267-298
Publisher: 
Springer, Berlin, Heidelberg
Abstract: 
This paper analyzes recent developments in the British and European government bond markets with reference to the UK's decision to leave the European Union. The two main goals of the study are, firstly, to examine whether the Brexit referendum result has affected the risk premium and, secondly, whether there are any changes in risk pricing following the referendum. The paper finds a significant impact of the Brexit referendum on the risk premium in selected economies. Furthermore, the results suggest that there is a considerable change in risk pricing after the announcement of the referendum result. Credit default risk and the risk aversion play a much important role in the post-referendum period than they did prior to the vote, particularly in the UK.
Subjects: 
Asset pricing
Government bond yield spreads
Risk premium
UK
Europe
Brexit
JEL: 
E43
E44
F36
G12
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article
Document Version: 
Published Version

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