Title: Brexit impact on the pound as well as the euro with reference to the Indian rupee

Authors: Priyanka Rani; Karam Pal Narwal

Addresses: Haryana School of Business, Guru Jambheshwar University, Hisar – 125001, Haryana, India ' Haryana School of Business, Guru Jambheshwar University, Hisar – 125001, Haryana, India

Abstract: The present study attempts to examine the effect of Brexit on foreign exchange rate volatility in India by taking the currency pair EUR/INR and GBP/INR. The daily spot price data of GBP/INR and EUR/INR are collected from RBI and FBIL for the period of 1st March 2011 to 23rd March 2020. To examine the impact, the sample of the study has been divided into two parts, before and after Brexit. After testing the data for stationarity by applying the augmented Dickey-Fuller (ADF) test, GARCH (1, 1) model has been applied for examining volatility of exchange rate return series of pre and post Brexit. The result of the GARCH (1, 1) shows the presence of highly volatile market after Brexit compared to the pre-Brexit period. The currency pair of Great Britain Pound slopes downwards suddenly after news related to Brexit happens; even this slope continues for a longer period.

Keywords: Brexit; exchange rate volatility; currencies; GARCH analysis; Indian rupee.

DOI: 10.1504/IJICBM.2023.130094

International Journal of Indian Culture and Business Management, 2023 Vol.28 No.4, pp.508 - 524

Received: 23 Aug 2021
Accepted: 16 Dec 2021
Published online: 05 Apr 2023 *

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