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http://bura.brunel.ac.uk/handle/2438/28048| Title: | Brexit referendum and the UK securitization market |
| Authors: | Kara, A Karimov, N Nguyen, AP |
| Keywords: | securitization;Brexit referendum;United Kingdom;ABS/MBS pricing |
| Issue Date: | 27-Jul-2020 |
| Publisher: | Routledge (Taylor & Francis Group) |
| Citation: | Kara, A., Karimov, N. and Nguyen, A.P. (2021) 'Brexit referendum and the UK securitization market', Applied Economics Letters, 28 (13), pp. 1092 - 1097. doi: 10.1080/13504851.2020.1798340. |
| Abstract: | We examined the perceived risk of Brexit referendum (BR) in the United Kingdom (UK) securitization market, using 1,021 securitized bonds issued between 2011 and 2018. We find an unexpected negative relationship between the BR outcome and the initial yield spreads of asset-backed securities (ABS), even after accounting for the downward-adjusted credit ratings in the post-BR period. We do not observe this effect on mortgage-backed securities (MBS). Our findings imply that investors diversified into ABS bonds under uncertainty in the post-BR period. |
| Description: | JEL Classification:: G21; G28. |
| URI: | http://bura.brunel.ac.uk/handle/2438/28048 |
| DOI: | http://dx.doi.org/10.1080/13504851.2020.1798340 |
| ISSN: | 1350-4851 |
| Other Identifiers: | ORCID iD: Alper Kara https://orcid.org/0000-0002-8560-0501 |
| Appears in Collections: | Dept of Economics and Finance Research Papers |
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|---|---|---|---|---|
| FullText.pdf | Copyright © 2020 Taylor & Francis. This is an Accepted Manuscript of an article published by Taylor & Francis in Applied Economics Letters on 27 Jul 2020, available at: https://www.tandfonline.com/doi/full/10.1080/13504851.2020.1798340 (see: https://authorservices.taylorandfrancis.com/research-impact/sharing-versions-of-journal-articles/). It is archived on this institutional repository under a Creative Commons Attribution-NonCommercial 4.0 International License (https://creativecommons.org/licenses/by-nc/4.0/). | 288.71 kB | Adobe PDF | View/Open |
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