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
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