【国际清算银行-2025研报】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）.pdfVIP

BISWorkingPapers

No1282

Marketwhiplashafterthe

2025tariffshock:anevent-

targetedVARapproach

byGaborPinter,FrankSmetsandSemihÜslü

MonetaryandEconomicDepartment

August2025

JELclassification:C18,C32,F10,F40,G12

Keywords:VAR,event-study,orthogonalisation,tariff

announcements

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©BankforInternationalSettlements2025.Allrightsreserved.Briefexcerptsmaybe

reproducedortranslatedprovidedthesourceisstated.

ISSN1020-0959(print)

ISSN1682-7678(online)

MarketWhiplashAfterthe2025TariffShock:

AnEvent-TargetedVARApproach∗

GaborPinterFrankSmetsSemihÜslü

BISBISJohnsHopkinsCarey

Abstract

On2April2025,theU.S.Presidentannouncedoneofthelargesttariffpackagesinhistory,triggering

sharpfinancialmarketreactions.Yetwithinsixweeks,marketshadlargelyrecovered.Thispaper

developsanevent-targetedvectorautoregression(ETVAR)frameworktodisentanglethreepotential

explanationsfortherecovery:thetransitorynatureoftheinitialshock,offsettingtariffannounce-

ments,andothermacroeconomicsurprises.Ourorthogonalisationmethodisolatesadominantshock

fromthe“LiberationDay”windowandtracksitsdynamicimpact.Realisationsofthisorthogonalised

shockexplain60–80%ofthere