中美贸易摩擦、美国经济政策不确定性与人民币汇率波动

Sino-U.S. Trade Frictions,U.S. Economic Policy Uncertainty and RMB Exchange Rate Fluctuations

文章在剖析美国经济政策不确定性影响人民币汇率波动的理论机制及其非线性时变机理的基础上,采用2010~2019年日度数据,从波动溢出和均值溢出双重层面实证揭示美国经济政策不确定性对人民币汇率的动态溢出效应,及其在2015年"8·11"汇改前后和中美贸易摩擦期间的结构变动特征。结果表明:(1)美国经济政策不确定性上升,一方面会加剧投资者对未来人民币兑美元汇率走势的异质性预期分化,从而在波动溢出层面加大人民币兑美元汇率波动性,另一方面还会导致不确定性厌恶的投资者减持美元并增持人民币,从而在均值溢出层面驱动人民币对美元升值;(2)"8·11"汇改后随着人民币汇率双向波动态势凸显,美国经济政策不确定性对人民币汇率的均值溢出效应消失,波动溢出效应大幅增强;(3)中美贸易摩擦期间美国经济政策不确定性对人民币汇率的波动溢出效应又进一步增强。

Based on the theoretical analysis of the time-varying effect of US Economic Policy Uncertainty( EPU) on RMB exchange rate fluctuations,this paper uses daily data from 2010 to 2019 to empirically investigate the dynamic spillover effect of US EPU on RMB exchange rate from the dual levels of volatility spillover and mean spillover,and its structural changes during the " 8·11" exchange rate reform in 2015 and during the Sino-US trade friction. The results show that,the rising US EPU,on the one hand,will intensify investors’ heterogeneous divergence in expected RMB/USD exchange rate movements,thereby increasing the volatility of RMB/USD exchange rate at the level of volatility spillover;on the other hand,increasing US EPU will also lead uncertainty-averse investors to reduce their holdings of the U. S. dollar and increasing their holdings of RMB,thereby driving the appreciation of the RMB against the U. S. dollar at the level of mean spillover. After the " 8·11" exchange rate reform in 2005,with the emerging of the two-way fluctuation of RMB exchange rate,the mean spillover effect of the US EPU on RMB exchange rate has disappeared,while the volatility spillover effect has significantly increased. The volatility spillover effect of the US EPU on RMB exchange rate has been further enhanced during the Sino-US trade friction.