人民币汇率预期不确定性的影响因素研究——基于时变脉冲响应和时变信息溢出的视角

Research on Influencing Factors of Uncertainty of RMB Exchange Rate Expectation——Perspective Based on Time-Varying Impulse Response and Time-Varying Information Spillover

本文采用UCSV-RV模型测度人民币汇率预期不确定性。时变脉冲响应结果表明:外部地缘政治风险对汇率预期不确定性的影响具有逐渐衰减的特征,内部经济政策不确定性对汇率预期不确定性的影响具有逐渐增强的特征,外部地缘政治风险对内部经济政策不确定性呈现正向冲击。时变溢出结果表明:相较于外部地缘政治风险,汇率预期不确定性的变化更多源自于内部经济政策不确定性的溢出,同时外部地缘政治风险是内部经济政策不确定性溢出的净接收者。

This paper uses UCSV-RV model to measure the uncertainty of RMB exchange rate expectation.The results of time-varying impulse response show that the impact of external geopolitical risk on the uncertainty of exchange rate expectation has the characteristics of gradual attenuation,the impact of internal economic policy uncertainty on the uncertainty of exchange rate expectation has the characteristics of gradual enhancement,and the external geopolitical risk has a positive impact on the uncertainty of internal economic policy.The time-varying spillover results show that,compared with the external geopolitical risk,the change of exchange rate expectation uncertainty is more from the spillover of internal economic policy uncertainty,and the external geopolitical risk is the net receiver of internal economic policy uncertainty spillover.