The Domestic And Aboard Influence Factors Of RMB Rate Fluctuation Research

Under the current international finance circumstance,which is rapidly changing,the exchange rate plays an important role on a country's economy.With the promoting of the process of RMB internationalization and deepening of the reform of the RMB exchange rate formation mechanism,China faces the great opportunity at the mean while the huge challenge.After the New Exchange Reform in August 2015,the RMB against the Dollar generated substantial depreciation,until the end of February 2016,the RMB had fallen to 6.55 from 6.12.At the same time,the IMF claimed on Dec 1st 2015 that the RMB wouldenter the SDR on Oct 1st 2016,which further promoted the internationalization of RMB.The issue related with the RMB exchange rate became a hot spot again.This article will reveal the different degree effect on the exchange rate from different variate through the analysis of the reasons that influence the exchange rate,offering an advise to the macro-control policy of government that whether intervene and how to intervene to keep the exchange rate fluctuate in a stable and reasonable interval.This has an important sense for keeping the stabilization of our exchange rate and economy's healthy development.The traditional exchange rate theory,like purchasing power parity theory,interest parity theory,balance of payments theory etc.,analyzing different reasons of the volatility of exchange rate from different angles,but not only the traditional macro economic fundamentals make great effect on the volatility of exchange rate,at the mean while,the other non macro economic fundamentals also make great effect on the volatility of exchange rate like the investors' expectation,the intervene of government,the situation of the international politics etc.Besides,the path,condition and pattern used when the exchange-trade completed also affect the volatility of exchange rate.So this article will comprehensively consider two aspects that affect the exchange rate volatility:This article derived the theoretical model based on the trade theory that affected the exchange rate volatility and policy reason,while confirm that the reasons affected the exchange rate including:(1)variable difference domestic and overseas(interest-rate spread,actual output gap,inflation rate,currency supply gap)(2)Difference between domestic inflation rate and targeted inflation rate;(3)Domestic Output-gap;(4)Government's intervene.The variable difference domestic and overseas represent that the exchange rate is a co-decision decided by the relative level of the economy situation at home and abroad but not the absolute situation of one national economy.The selecting of month data from January 1999 to September 2015 to proceed inspection modeling based on the theory module,the selecting of foreign data based on the structure of currency basket.In consideration of the actual foreign trade situation of our country,selecting the currency basket of US,Japan,UK and Euro Zone,and calculate the weight according to the exporting ratio,the foreign variable sequence will be deducted by total weight.Secondly,in consideration of our trade,financial and capital open scale and the deep changing of market and the relative policies,selecting three time lines of exchange rate change of 2005,2010 and 2012 to enter the new normal economy state as dummy variable,expanding the theory module,inspecting the asymmetric effect of exchange rate fluctuation,that is the change of structure.At the same time,in order to eliminate the ARCH effect and leverage effect of foreign market inspection,finally adopting the TARCH model to evaluate all the variable.The main conclusion of this article is that every variate has some influence on the exchange rate volatility but with different influence degree.(1)The institutional reason of the RMB exchange rate volatility is the obviously effect of the RMB exchange rate reform;(2)The leading reason of the exchange rate volatility is the adaptive expectations of the exchange rate.The appreciation of exchange rate in the former period will lead to the expectation of the appreciation of RMB,result in the appreciation of RMB's spot and exist asymmetric effect,which means after the exchange rate reform in 2005,the influence degree of the adaptive expectations affected on the exchange rate volatility will be stronger again.(3)With the extension of the opening degree of the capitalist market in China,the relationship between interest rate and exchange rate appears structural transformation.China didn't have the advanced condition of the Interest Rate Parity because of the serious capital control before the exchange rate reform in 2010,but with the extension of our opening degree of the capitalist market,the relationship between interest rate and real exchange rate appears structural transformation and fits the interest rate parity,then the decline of exchange rate would bring devaluation pressure on RMB.(4)The rapid domestic economy development is the main reason for stability of RMB exchange rate.Balassa-Samuelson Hypothesis suggests that the increase of productivity brings pressure to domestic currency appreciation.Due to the shrinking gap of domestic and abroad output,the pressure brought by out put gap on depreciation has continually decreased.(5)Since the economy enters in new normal state in 2012,the relationship of output gap and inflation rate deviating from target level and actual valid exchange rate conforms to Taylor Rule.The relationship of output gap and actual valid exchange rate around 2012 has the Asymmetric Effect.After 2012,the positive output gap would bring pressure on RMB appreciation.(6)The rising domestic price level will bring pressure on RMB depreciation.The increasing supply of domestic currency and inflation rate will lead to the rising of domestic price level,and then bring pressure on RMB depreciation.(7)The government interferes with the changing of foreign currency reserve.Before 2014,the rising of foreign currency always puts pressure on RMB appreciation.