| In May 2017,the People’s Bank of China introduced a countercyclical factor in the formation mechanism of the RMB against the US dollar exchange rate.The purpose was to resist the procyclical sentiment caused by the herd effect in the market,and then in January 2018 and August 2018 respectively,pause and restart the countercyclic factor.With the opening of two counter-cyclic factors,the exchange rate of the RMB against the US dollar has turned into a period of appreciation for a long period of time,and thus the outside world generally has a direct counter-cyclic factor for whether the central bank is non-transparent by means of a calculation formula.The suspicion of exchange rate pricing interventions and the widespread discussion of whether the countercyclical factors imply a reversal of China’s exchange rate market reform process.In this context,this paper formulates the calculation method of the middle price and the inverse period factor according to the descriptive language of the central bank’s monetary policy implementation report.After obtaining the specific calculation formula of the middle price and the inverse period factor,this paper The VAR model is used to further analyze the impact of the countercyclical factor on the marketization reform of the RMB exchange rate.In addition,this paper strips out the “reverse basket factor” indicator from the composition of the middle price,and analyzes its effect on the RMB exchange rate expectation.In contrast to the countercyclical factor.The research results show that the central parity of the RMB against the US dollar consists of two factors: “reflecting market supply and demand between the RMB and the US dollar” and “maintaining the stability of the RMB relative to a basket of currencies”;the latter is equipped with an asymmetric filtering mechanism to make the middle price In the reflection of the stability of the RMB relative to the basket currency,it shows a tendency to depreciate and suppress the appreciation;while the introduction of the counter-cyclic factor is equivalent to the former adding a filtering mechanism that facilitates appreciation and suppresses depreciation,and is also realized by asymmetric filtering parameters.The new median price has a correction and tends to balance the inherent tendency of depreciation;the model shows that the role of the countercyclical factor is completely mechanized,and there is no central bank manipulation in the formation of the middle price.In this paper,the VAR model is further constructed.The impulse response analysis shows that the countercyclical factor and the “anti-basket factor” have opposite effects on the exchange rate expectation,but the degree of influence is weak,which indicates that the introduction of the countercyclical factor is beneficial to the RMB exchange rate expectation.Stabilization;at the same time,the central bank’s introduction of countercyclical factors did not significantly affect the trust of international capital in the marketization of the RMB exchange rate. |
