Research On The Policy Effect Of The Reform Of The Formation Mechanism Of The RMB Central Rate

At the end of last century,China cancelled the dual track exchange rate system and carried out many reforms on the exchange rate system and policies.The reform of the RMB exchange rate system mainly includes the formation mechanism of the central parity rate and the relaxation of the daily fluctuation limit.The fluctuation range of the current exchange rate relative to the central parity rate is stable at 2%.Therefore,the core content of the reform of the exchange rate system is to form a more marketoriented and more benchmark RMB central parity rate.According to China’s current policy,the RMB central parity rate is mainly affected by the previous day’s CLOSING price of RMB exchange rate,the exchange rate changes of a basket of currencies and counter-cyclical factors.In recent years,China has frequently adjusted the formation mechanism of the central parity rate.However,it is worth exploring the effect of the reform and whether it can achieve the desired goal.This paper first sorts out the previous research literature on the policy evaluation of the central parity rate,the benchmark status of the central parity rate and the spillover effect,and summarizes the previous views.Secondly describes the middle price,at the spot exchange rate on the onshore and offshore at the spot exchange rate and the forward rate of the offshore development course and current situation,the median price spillover effects with other exchange rate,the median price formation mechanism reform to theoretical analysis,the cause of teasing out the middle price and the spot exchange rate deviation and influenced the stability of the foreign exchange reserves and hedge market pro-cyclical behavior is the cause of the change;Finally,the daily data of CNM,CNY,CNH and NDF from May 2,2012 to October 20,2021 are selected based on whether the exchange rate reform will improve the marketability and benchmark of THE RMB central parity.Taking the exchange rate reform on August 11,2015,the introduction of the counter-cyclical factor on May 26,2017 and the withdrawal of the counter-cyclical factor on October 27,2020 as the segmentation points,the time series is divided into four stages,and the empirical study is conducted by using ATP-VAR model and BEKK-MVGARCH model.The following conclusions can be drawn from the evaluation of market use price spillover effect,benchmark use price spillover effect and volatility spillover effect in the middle of RMB:First,after the reform of the formation mechanism of the central parity rate,the marketization degree and benchmark of the central parity rate have been improved,and the reform goal has been realized.Second,after the reform of "8·11" central parity quotation mechanism,the marketization degree of CNM was deepened,and its price spillover effect on CNY and CNH was significantly enhanced.In addition,the benchmark of CNM was also improved,and its spillover effect on CNY and CNH fluctuations was significantly enhanced.Thirdly,after adjusting the counter-cyclical factor,the marketization degree of CNM is improved,which is manifested in the significantly enhanced price spillover effect of CNY and CNH on CNM,while the benchmark of CNM has no significant change.On the basis of the research conclusions,this paper believes that the RMB exchange rate is still a managed floating exchange rate regime in the short term,and will change to a floating exchange rate regime in the long term.In view of the problems existing in the current central parity formation mechanism,this paper puts forward the following policy suggestions,including improving the market-oriented formation mechanism of the central parity,improving the transparency of the central parity information,enhancing the flexibility of the two-way floating exchange rate,and strengthening the supervision of cross-border capital flows.