Asymmetric effects of tariff news on the renminbi exchange rate volatility: evidence from the US-China trade war

被引：0
作者：
Sun, Yike [1 ,2 ]
机构：
[1] Waseda Univ, Grad Sch Social Sci, Shinju Ku, Tokyo, Japan
[2] Waseda Univ, Grad Sch Social Sci, Shinju Ku, Tokyo 1698050, Japan
来源：
APPLIED ECONOMICS LETTERS | 2025年 / 32卷 / 03期
关键词：
Renminbi; tariff news; HAR; HARQ; Wald test; JEL; F31; G15; MODEL;
D O I：
10.1080/13504851.2023.2272694
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This study utilizes the extended HAR models and Wald test to investigate the asymmetric impacts of tariff news on renminbi exchange rate volatility during the US-China trade war. The findings indicate that, although both good and bad news increase renminbi exchange rate volatility, there is no significant asymmetry between their effects. However, a distinct asymmetry is observed between the impacts of future and present tariff news, where the former significantly increases the volatility of the renminbi exchange rate, whereas the latter exhibits minor and insignificant effects.
引用
收藏
页码：384 / 390
页数：7
相关论文
共 11 条
  • [1] Answering the skeptics: Yes, standard volatility models do provide accurate forecasts
    Andersen, TG
    Bollerslev, T
    [J]. INTERNATIONAL ECONOMIC REVIEW, 1998, 39 (04) : 885 - 905
  • [2] Exploiting the errors: A simple approach for improved volatility forecasting
    Bollerslev, Tim
    Patton, Andrew J.
    Quaedvlieg, Rogier
    [J]. JOURNAL OF ECONOMETRICS, 2016, 192 (01) : 1 - 18
  • [3] The US-China trade war and Phase One agreement
    Bown, Chad P.
    [J]. JOURNAL OF POLICY MODELING, 2021, 43 (04) : 805 - 843
  • [4] A Simple Approximate Long-Memory Model of Realized Volatility
    Corsi, Fulvio
    [J]. JOURNAL OF FINANCIAL ECONOMETRICS, 2009, 7 (02) : 174 - 196
  • [5] China-US trade friction and welfare: The role of regional trade agreements
    Ding, Guanzu
    Guo, Guangyuan
    Wu, Caiyun
    Yu, Jiawen
    [J]. ECONOMIC MODELLING, 2022, 113
  • [6] The Model Confidence Set
    Hansen, Peter R.
    Lunde, Asger
    Nason, James M.
    [J]. ECONOMETRICA, 2011, 79 (02) : 453 - 497
  • [7] WALDS TEST AS APPLIED TO HYPOTHESES IN LOGIT ANALYSIS
    HAUCK, WW
    DONNER, A
    [J]. JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1977, 72 (360) : 851 - 853
  • [8] Jeanne O., 2020, WHAT EXTENT ARE TARI
  • [9] The impact of Brexit news on British pound exchange rates
    Korus, Arthur
    Celebi, Kaan
    [J]. INTERNATIONAL ECONOMICS AND ECONOMIC POLICY, 2019, 16 (01) : 161 - 192
  • [10] Liau Y. S., 2008, APPL FINANCIAL EC, V18, P411, DOI [https://doi.org/10.1080/09603100600959878, DOI 10.1080/09603100600959878]
12