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）

BIS Working PapersNo 1282 Market whiplash after the 2025 tariff shock: an event-targeted VAR approach by Gabor Pinter, Frank Smets and Semih Üslü Monetary and Economic Department August 2025 JEL classification: C18, C32, F10, F40, G12 Keywords: VAR, event-study, orthogonalisation, tariff announcements BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors 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 be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) Market Whiplash After the 2025 Tariff Shock:An Event-Targeted VAR Approach∗Gabor PinterBISFrank SmetsBISSemih ÜslüJohns Hopkins CareyAbstractOn 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 announcementsJEL codes: C18, C32, F10, F40, G12∗First version: June 2025. We would like to thank, for helpful comments and suggestions, Mathias Drehmann,Lukas Hack, Marek Jarocinski, Sydney Ludvigson, Emi Nakamura, Jón Steinsson, Harald Uhlig and participantsat a BIS internal seminar. The views expressed in this paper are those of the authors, and not necessarily thoseof the Bank for International Settlements.Email addresses: gabor.pinter@bis.org, frank.smets@bis.org andsemihuslu@jhu.edu.11IntroductionThe 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 suc