This paper studies the relationship between monthly economic uncertainty of 20 advanced and emerging markets, and two daily covariates, i.e., exchange rate and stock index, with particular emphasis on the relationship between the variables in response to the Brexit vote. We use a functional data approach supplemented with a point of impact structure to conduct a mixed-frequency analysis. We find that incorporating the point of impact, in this case the Brexit shock, is marginally important relative to models that ignore it. We also find that the exchange rate played a more important role than the equity market in transmitting the Brexit shock to cause heightened uncertainty in the 20 countries considered. Our results have important policy implications.

中文翻译：

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使用具有影响点的函数线性回归分析英国退欧对全球不确定性的影响：货币和股票市场的作用

本文研究了 20 个发达和新兴市场的月度经济不确定性与两个每日协变量之间的关系，即汇率和股票指数，特别强调了变量之间的关系，以应对英国退欧公投。我们使用功能数据方法，辅以影响点结构来进行混合频率分析。我们发现，相对于忽略它的模型，考虑影响点（在这种情况下是英国退欧冲击）的重要性微乎其微。我们还发现，汇率在传递英国退欧冲击方面发挥了比股票市场更重要的作用，从而导致所考虑的 20 个国家的不确定性增加。我们的结果具有重要的政策含义。