中国经济政策不确定与人民币汇率溢出效应的实证研究

本文通过综合运用VAR模型和MVGARCH-BEKK模型,在“8.11汇改”前后对样本进行分段,分析了经济政策不确定性和人民币汇率间均值溢出效应和波动溢出效应。结果表明:(1)在全样本期间,人民币汇率对经济政策不确定性同时产生均值溢出效应和波动溢出效应,而经济政策不确定性对汇率不产生溢出效应;(2)“8.11汇改”后,经济政策不确定和人民币汇率的联动关系发生了改变。汇改前经济政策不确定性对汇率不产生溢出效应,汇改后出现了波动溢出效应;汇改前汇率变化对经济政策不确定性产生正均值溢出,汇改后人民币汇率对经济政策不确定性产生负均值溢出;(3)汇改后汇率市场化程度提高,中国经济政策不确定性和外汇市场的联动性增强。

An Empirical Study on the Spillover Effects Between China Economic Policy Uncertainty and RMB Exchange Rate

By using the VAR model and the MGARCH-BEKK model,we analyze the mean and volatility spillover effects between China economic policy uncertainty and RMB exchange rate.The results show that:(1)during the full sample period,the foreign exchange rate has both mean and volatility spillover effects on economic policy uncertainty,while economic policy uncertainty has no spillover effect on the foreign exchange rate;(2)after“8.11 exchange rate reform”,the relationship between economic policy uncertainty and foreign exchange rate has changed.Before the exchange rate reform,the economic policy uncertainty has no spillover effect on the exchange rate,while after the exchange rate reform,there has a volatility spillover effect on the exchange rate;the exchange rate before exchange rate reform has positive mean spillover effect on economic policy uncertainty while the effect changes to negative after the exchange rate reform.(3)after the exchange rate reform,the marketization degree of exchange rate has increased,and the linkage between China economic policy uncertainty and foreign exchange market has also increased.