贸易政策不确定性、经济基本面与汇率预期波动--基于非线性MS回归和TVP-VAR的实证分析

Trade Policy Uncertainty,Economic Fundamentals and Expected Exchange Rate Volatility--Empirical Analysis Based on Nonlinear MS Regress and TVP-VAR

近年来全球贸易政策不确定性显著升高,贸易政策变化影响了公众对于汇率波动的预期。对此本文依据中美两国宏观经济的特征事实和有关汇率预期理论构建实证模型。研究发现:汇率预期波动与经济基本面和贸易政策不确定性之间存在非线性效应,在不同的经济环境下,贸易政策不确定性对于汇率预期波动的影响存在差异。汇率预期波动在长期内更多地是由国内外经济基本面相对变化驱动的,而在短期内汇率预期波动主要受到贸易政策等不确定性因素冲击。

In recent years,the uncertainty of global trade policy has continued to increase,and the degree of RMB exchange rate volatility has increased.The change of trade policy has affected the public's expectation of exchange rate fluctuations.This paper builds an empirical model based on the macroeconomic characteristics of China and the United States and the exchange rate expectation theory.The results show that there is a nonlinear effect between the expected fluctuation of exchange rate and the economic fundamentals and policy uncertainty,and the influence of trade policy uncertainty on the expected fluctuation of exchange rate is different in different economic environments.In the long term,expected exchange rate fluctuations are more driven by relative changes in domestic and foreign economic fundamentals,while in the short run,expected exchange rate fluctuations are mainly impacted by uncertain factors such as trade policies.