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

ABSTRACT

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.

KEYWORDS:

• Renminbi
• tariff news
• HAR
• HARQ
• Wald test

JEL CLASSIFICATION:

• JEL
• F31
• G15

Disclosure statement

No potential conflict of interest was reported by the author(s).

Notes

¹ From 2018/03/22 to 2019/12/13, the renminbi central parity rate fell from 631.67 to 701.56, calculated in terms of the equivalent of 100 US dollars to the renminbi.

² This study additionally investigated the impact of the COVID-19 pandemic in 2020; however, its influence is discerned to manifest with restricted magnitude and lacks statistical significance. Consequently, the present study refrains from incorporating it into the analytical framework.

Additional information

Funding

This research was supported by the China Scholarship Council (CSC) under grant [201906620008], and the Ministry of Education, Culture, Sports, Science, and Technology in Japan (MEXT) under grant [201532].