美国经济政策不确定性对人民币外汇市场压力的非对称影响研究  

Study on the Asymmetric Impact of US Economic Policy Uncertainty on RMB Foreign Exchange Market Pressure

作　　者：路妍[1] 秦国汀 Lu Yan;Qin Guoting(School of Finance,Dongbei University of Finance and Economics,Dalian 116025,Liaoning,China)

机构地区：[1]东北财经大学金融学院,辽宁大连116025

出　　处：《金融发展研究》2023年第6期13-24,共12页Journal Of Financial Development Research

基　　金：国家社科基金一般项目“全球货币政策的新变化对中国货币政策和人民币汇率波动的影响研究”(18BJL029)。

摘　　要：在分析美国经济政策不确定性影响人民币外汇市场压力内在机制的基础上,运用TVAR模型和反事实分析方法,实证考察了美国经济政策不确定性对人民币外汇市场压力的非对称影响。研究发现:(1)美国经济政策不确定性对人民币外汇市场压力的影响具有非对称性,在不确定性程度较低时,美国经济政策不确定性冲击会引发人民币贬值压力;在不确定性程度较高时,美国经济政策不确定性冲击会引发人民币升值压力。(2)预期渠道和国际资本流动渠道在不确定性程度较低和较高时都会发挥作用,而经济政策不确定性溢出渠道具有门槛效应,只有在不确定性程度较高时才发挥作用。(3)在不同的不确定性程度下,美国经济政策不确定性对人民币外汇市场压力的传导渠道的作用方向与作用强度具有异质性,这是美国经济政策不确定性对人民币外汇市场压力的影响具有非对称性的主要原因。Based on the analysis of the intrinsic mechanism of U.S.economic policy uncertainty affecting RMB foreign exchange market pressure,the asymmetric impact of U.S.economic policy uncertainty on RMB foreign ex-change market pressure is examined empirically using the TVAR model and counterfactual analysis.It is found that(1)the impact of U.S.economic policy uncertainty on RMB foreign exchange market pressure is asymmetric,with U.S.economic policy uncertainty shocks triggering RMB depreciation pressure when the level of uncertainty is low,and U.S.economic policy uncertainty shocks triggering RMB appreciation pressure when the level of uncertainty is high.(2)The expectations channel and the international capital flow channel work at both low and high levels of uncertain-ty,while the economic policy uncertainty spillover channel has a threshold effect and works only when the level of un-certainty is high.(3)Under different levels of uncertainty,the direction and intensity of the effect of U.S.economic policy uncertainty on the transmission channel of RMB foreign exchange market pressure is heterogeneous,which is the main reason why the impact of U.S.economic policy uncertainty on RMB foreign exchange market pressure is asym-metric.

关 键 词：美国经济政策不确定性 人民币汇率 非对称性 影响机制 

分 类 号：F832.5[经济管理—金融学]