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）

Market whiplash after the2025 tariff shock: an event-targeted VAR approach by Gabor Pinter, Frank Smets and Semih ÜslüMonetary and Economic Department August2025 JEL classification: C18, C32, F10, F40, G12Keywords: VAR, event-study, orthogonalisation, tariffannouncements BISWorking Papers are written by members of the Monetary and EconomicDepartment of the Bank for International Settlements, and from time to time by othereconomists, and are published by the Bank. The papers are on subjects of topicalinterest and are technical in character. The views expressed in them are those of theirauthors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). ©Bank for International Settlements 2025. All rights reserved. Brief excerpts may bereproduced or translated provided the source is stated. Market Whiplash After the 2025 Tariff Shock:An Event-Targeted VAR Approach∗ Gabor PinterBISFrank SmetsBISSemih ÜslüJohns Hopkins Carey Abstract On 2 April 2025, the U.S. President announced one of the largest tariff packages in history, triggeringsharp financial market reactions.Yet within six weeks, markets had largely recovered.This paperdevelops an event-targeted vector autoregression (ETVAR) framework to disentangle three potentialexplanations for the recovery:the transitory nature of the initial shock, offsetting tariff announce-ments, and other macroeconomic surprises. Our orthogonalisation method isolates a dominant shockfrom the “Liberation Day” window and tracks its dynamic impact. Realisations of this orthogonalisedshock explain 60–80% of the recovery in equities, copper prices, the VIX, and short-term inflationexpectations.In contrast, the dollar’s persistent depreciation and movements in government bondyields largely stem from other orthogonal shocks, coinciding with a sudden deterioration in Treasurymarket liquidity. The findings highlight the limits of attributing all market movements to trade policyand demonstrate the value of a flexible, event-driven orthogonalisation strategy. Keywords: VAR, event-study, orthogonalisation, tariff announcements 1Introduction The U.S. administration’s tariff announcements on 2 April 2025 were among the largest inhistory.Financial markets reacted sharply:stock indices plunged, and short-term inflationexpectations spiked.These initial reactions align with theoretical predictions that such an-nouncements would reduce output and elevate inflation.1 Yet, remarkably, within six weeks,markets had largely rebounded, with both equities and inflation expectations returning to pre-announcement levels, as illustrated by the solid black lines in Figure 1. Why did financial markets stabilize so quickly despite the initial turmoil? There are at leastthree plausible explanations. First, the effects of the tariff announcement shock may have beenhighly transitory. Second, subsequent tariff announcements may have offset the initial negativeimpact.2Third, unrelated macroeconomic surprises may have counteracted the adverse effectsof the tariff shock.3 Disentangling these three explanations is essential for understanding theinterplay between successive, often offsetting exogenous shocks and endogenous dynamics, aswell as for drawing robust policy implications. To address this, we employ an econometric framework which we label as event-targetedvector autoregressions (ETVAR). The approach constructs an orthogonalised shock (“tariffannouncement shock”) by minimising the distance between the counterfactual and observed changes in the VAR variables over a specified time window (April 2–3, 2025).This ensuresthat the constructed shock is pinned down by the joint dynamics of the variables during thisperiod.Once identified, the same shock vector is then traced forward and backward by theVAR to recover subsequent and previous realisations without any redefinition or adjustment.In this sense, the model provides a discipline: it allows us to detect surprise data movementsat other points in time that reflect the same underlying economic force, provided they areconsistent with the initial impulse.4 By combining VAR dynamics with orthogonalization,the ETVAR framework is able to disentangle the contributions of (i) the initial shock, (ii)subsequent realisations from the same shock distribution, and (iii) other orthogonal shocks,thereby giving a more nuanced understanding than a simple event-study methodology. Our baseline ETVAR model yields four main empirical results.5First, a single orthogonal-ised shock can explain a significant portion of the sharp reaction and subsequent recovery in keyvariables. For example, from the trough (8 April, 2025) to peak (15 May, 2025) the S&P 500increased by about 0.17 log points, with the tariff announcement shock accounting for about0.1 log points of this recovery (left panel of Figure 1). Similarly, tariff announcement shocksexplain the majority of the total 39 bps fall in 1-year inflation swap rates over the same