中美经济政策不确定性对人民币汇率的影响研究

A Study on the Impact of Economic Policy Uncertainty between China and the United States on the RMB Exchange Rate

随着人民币汇改以及国际化的推进,本文探讨中美经济政策不确定性对人民币汇率的波动影响。本文选取2005年8月至2023年6月的中美EPU指数与人民币汇率数据,基于时变视角的VAR模型,实证分析人民币汇率与中美EPU的影响。结果表明:第一,金融风险、新冠疫情等突发事件时,美国EPU对人民币汇率的波动幅度骤升;第二,中国EPU对人民币汇率波动呈现短期显著、长期同步现象;第三,汇改后中美EPU对人民币汇率的影响强度更大。结合当前经济环境看,本文认为降低美国经济政策不确定性对外汇市场和经济稳定的冲击尤为重要。

With the advancement of RMB exchange rate reform and internationalization,this study aims to explore the impact of economic policy uncertainty between China and the United States on the fluctuation of RMB exchange rate.Using the China-US Economic Policy Uncertainty(EPU)indices and RMB exchange rate data from August 2005 to June 2023,this study empirically analyzes the impact of RMB exchange rate and China-US EPU based on a time-varying VAR model.The results are as follows.First,the fluctuation range of the US EPU index against the RMB exchange rate soared when financial risks,COVID-19 pandemic,and other events occurred.Second,China’s EPU index exhibits a significant short-term influence on the RMB exchange rate while the long-term impact reveals synchronous fluctuations in the RMB exchange rate.Third,after the exchange rate reform,the impact of the China-US EPU indices on the RMB exchange rate is stronger.Considering the current economic environment,it is particularly important to reduce the impact of the US EPU on the foreign exchange market and economic stability.