关注尾部风险:贸易政策不确定性、预期与人民币汇率变动

Attentions to the tail risk:Trade Policy Uncertainty,expectations,and variations of RMB exchange rate

贸易是决定汇率的首要因素,而贸易政策变动带来的不确定性如何影响人民币汇率双向变动?本研究基于无抛补利率平价思想,引入贸易政策不确定性的尾部风险对汇率预期的影响,建立中美贸易政策不确定性与人民币汇率关系的理论模型,进而基于交叉分位数回归模型探究中美贸易政策不确定性对人民币在岸与离岸市场的短期影响.实证结果表明中国和美国贸易政策不确定性对人民币在岸与离岸汇率冲击具有非对称性和尾部特征,且中国贸易政策不确定性对人民币汇率的影响占主导地位.最后,贸易政策不确定性通过改变外汇市场投资者的预期进一步作用于人民币汇率变动.因此,央行要加强针对尾部风险的主动应对措施,投资者需关注贸易政策改变带来的不确定性而调整套期保值策略。

Trade is the primary factor determining the exchange rate.How does Trade Policy Uncertainty affect the bi-directional changes in the RMB exchange rate?Based on the uncovered interest rate parity,this paper introduces the impact of the tail risk of Trade Policy Uncertainty on exchange rate expectations,and establishes a theoretical model of the relationship between Sino-US Trade Policy Uncertainty and the RMB exchange rate.The quantile-on-quantile model is employed to explore the short-term impact of Sino-US Trade Policy Uncertainty on the RMB onshore and offshore markets.The empirical results show that the impacts of Trade Policy Uncertainty in China and in the United States on onshore and offshore RMB exchanges have asymmetric and tail characteristics,with the impact of China Trade Policy Uncertainty on the RMB exchange rate playing a dominant role.Finally,Trade Policy Uncertainty further affects variations of RMB exchange rate by changing investors'expectations in the foreign exchange market.Therefore,the central bank needs to strengthen the proactive responses to tail risks,and investors need to pay attention to the uncertainty brought about by trade policies and adjust their hedging strategies accordingly.