人民幣定價機制研究

Abstract

自2015年811匯改以來，人民幣匯率定價機制透明度大幅提升，然而2017年5月人民銀行在人民幣兌美元中間價報價模型中加入逆週期因子來改善市場對人民幣長期存在的貶值預期，此消息一發布被市場解讀為人民銀行再度操控匯率，定價機制退回不透明。然而，實際上加入逆週期因子是為確保人民幣中間價定價機制被正確反映，人民銀行持續調升人民幣中間價是為反映此期間美元貶值，CFETS貨幣籃子中其餘幣別升值的表現，抵銷市場上美元長期供不應求現象對中間價形成的貶值效果，使人民幣如期升值讓CFETS指數得以維持穩定。 因此，本篇論文透過中國外匯交易中心對人民幣中間價形成機制的敘述，將概念性敘述轉換為公式，並以歷史數據回測驗證自2016年到2018年3月，每日官方公布中間價確實和預測的人民幣中間價走向一致，人民幣中間價基本遵循公開的機制做定價，匯率定價具有高度的透明度。雖然在國內市場供需或國際主要貨幣匯率變化太快時人民銀行會進行調控，產生預測誤差，但人民銀行修正目的在於減少變動幅度，而非操縱升貶值方向。 由定價機制可知，維持CFETS指數穩定為人民銀行重要匯率政策，指數穩定有助於調節中國進出口、投資及國際收支。2017年CFETS指數新增11種貨幣後，由於幣別的多樣性，貨幣籃子更具有自我調節的功能，即使人民幣兌美元中間價變動依然存在一定幅度，指數的穩定度明顯提升。然而，CFETS指數理應納入與中國高貿易權重的國家，台灣、越南、印度、巴西、印尼、菲律賓皆為中國重要貿易國卻未被加入，推測可能的原因是CFETS指數若加入與美元升貶值走向高度正相關的貨幣且佔有一定權重，會降低CFETS 指數的自我調節功能。綜合考量當前CFETS指數貨幣的可能選取標準，台灣與中國貿易占比排名緊跟在韓國後，且台幣在全球外匯市場的日均交易量穩定，加上台幣與美元相關性較低，台幣有必要納入CFETS指數中，使當前的CFETS指數更具代表性。

Since China’s central bank announced its reform of daily reference mid price determination mechanism on August 11, 2015, the formation mechanism of RMB exchange rate has become more market-oriented and clear. However, in May 2017, China’s central bank decided to add an undisclosed counter-cyclical factor into its mid price formation formula to change the phenomenon that yuan's end-of-day closing price was always weaker than intended. With counter-cyclical factor, the currency’s value can better reflect actual supply and demand. For instance, during the second half year of 2017, US dollar was getting weaker, so the continuous appreciation of yuan was the result of the appreciation of other currencies in CFETS index basket. Nevertheless, because of counter-cyclical factor, China was considered a currency manipulator again. Hence, through data backtesting, this paper will clearly demonstrate that how yuan-U.S. dollar central parity rate follows the formation formula of previous day's closing rate and changes in a basket of currencies. Although China’s central bank sometimes intervene in the FX market, its purpose is only to reduce the excess volatility caused by other currencies moves rather than make central parity rate deviated from expectations. With the fact that China’s central bank has already reduced the influence of the counter-cyclical factor in January 2017, it could proof that China will make yuan’s price formation formula open and clear once the yuan was no longer under irrational depreciation pressure. Moreover, maintain RMB’s stability against a basket of currencies is a highly important exchange rate policy for China because the stability of CFETS RMB Index is beneficial to international trade. On 1st January 2017, China add 11 currencies to CFETS RMB Index to strengthen the representativeness of the currency basket. Due to the further diversification of the basket, it is less likely that all currencies in the basket are simultaneously strengthening. CFETS index basket becomes more stable even though the fluctuation of yuan-U.S. dollar central parity rate remains. The sample currency weight is based on international trade weights. However, Taiwan, Vietnam, India, Brazil, Indonesia, and Philippines are all China's large trading partners, but none of them is included in Index. Hence, currencies have strong positive correlation with U.S. dollar may be the possible reason. If the basket include a high proportion of high-correlated currencies, the possibility that currencies are simultaneously strengthening increases. Nonetheless, within these six currencies, Taiwanese Dollar is the only one that does not have strong positive correlation with U.S. dollar, and Taiwan is China's largest trading partner among these countries. Therefore, it is necessary for China to add Taiwanese Dollar into CFETS index to strengthen the representativeness of the basket.