国际清算银行-2025年关税冲击后的市场波动_基于事件的目标变量自回归（VAR）分析方法（英）-2025.8_29页_898kb

Market Whiplash After the 2025 Tariff Shock: Summary

This paper examines the market reaction to the U.S. tariff announcements on April 2, 2025, using an event-targeted vector autoregression (ETVAR) framework. The initial market turmoil, including sharp drops in stock indices, surges in inflation expectations, and copper prices, is attributed primarily to a single orthogonalised tariff announcement shock, which explains 60–80% of the observed movements in equity markets, copper prices, the VIX, and short-term inflation expectations by early May 2025.

Key findings include:

• Recovery Drivers: The rapid post-shock market recovery is driven by subsequent tariff pause announcements (e.g., a 90-day implementation delay) and macroeconomic surprises (e.g., better-than-expected CPI/labor data).
• Orthogonal Shock Contribution: The tariff shock does not explain the persistent U.S. dollar depreciation or Treasury yield movements, which stem from separate orthogonal shocks coinciding with Treasury liquidity deterioration.
• Methodological Contribution: The ETVAR method isolates an economic force from a specific event window and traces its dynamic effects, demonstrating the same shock driving market reactions during key tariff-related events (e.g., April 9 and May 12, 2025). It extends to historical events (e.g., August 2019 tariffs) and shows the shock's relative magnitude alone in 2025 was unprecedented.

The paper argues that attributing all market movements to trade policy overlooks structural fragilities in Treasury markets and stresses the need for multiple shocks in future analyses. Technically, it leverages orthogonalisation based on within-window data dynamics, offering a flexible, data-driven alternative to traditional event-study or difference-in-differences approaches.