疫情冲击下经济政策不确定性与汇率波动的交互性研究——基于面板VAR模型的实证分析

Research on the Interaction of Economic Policy Uncertainty and Exchange Rate Fluctuation under the Impact of Epidemic Situation——Based on Panel VAR Model

新冠肺炎疫情的全球暴发进一步加剧世界经济的不确定性。基于面板VAR模型的实证研究发现:经济政策不确定性对汇率变动的影响较小,但是汇率的变动会显著影响经济政策不确定性的变动。根据样本国家汇率变异系数大小的分组对比研究显示,汇率波动幅度小的国家,经济政策不确定性对汇率的影响不显著,伴随汇率贬值其政府经济政策不确定性下降;而汇率波动幅度大的国家经济政策稳定币值的能力较弱,其货币贬值对政府经济政策不确定性的影响会上升。

The global outbreak of the new crown epidemic has further exacerbated the uncertainty of the world economy.Empirical research based on the panel VAR model found that economic policy uncertainty has little effect on exchange rate changes,but exchange rate changes will significantly affect changes in economic policy uncertainties.A group comparison study based on the exchange rate variation coefficients of sample countries shows that in countries with small exchange rate fluctuations,economic policy uncertainty has no significant effect on exchange rates.With exchange rate depreciation,their government economic policy uncertainties decrease;The ability of national economic policies to stabilize currency value is weak,and the impact of its currency depreciation on the uncertainty of government economic policies will increase.