经济政策不确定性与人民币汇率的非对称波动——基于投资者预期视角

Economic Policy Uncertainty and AsymmetricVolatility of the RMB Exchange Rate—Based on the Perspective of Investors’ Expectations

选取2011年1月至2022年3月的时间序列数据,探讨经济政策不确定性对人民币汇率波动的非对称影响及投资者预期的中介效应。研究发现,相对经济政策不确定性上升加剧了人民币汇率波动,且呈现出明显的非对称特征,即在宏观经济状况较坏时的波动更大,投资者预期在其中发挥了重要的中介作用。鉴于此,应针对不同宏观经济状况采取差异化调控措施,提振投资者信心,避免形成人民币不良变动预期,预防人民币汇率的过度波动。

Based on the time series data from January 2011 to March 2022,this paper attempts to explore the asymmetric impact of economic policy uncertainty on RMB exchange rate fluctuations and the mediating effect of investors’expectations.The study finds that the increase in relative economic policy uncertainty exacerbates the volatility of the RMB exchange rate,and shows obvious asymmetric characteristics,that is,the volatility is greater when the macroeconomic conditions are worse than when the macroeconomic conditions are better,and investors’expectations play an important mediating role in this.In view of this,differential control measures should be taken according to different macroeconomic conditions to boost investor confidence,avoid the formation of expectations of RMB adverse changes,and prevent excessive fluctuation of RMB exchange rate.