人民币汇率定价的逆周期因子：启用时间、驱动因素与实施效果*

本文对2017年5月—2019年9月期间人民币汇率定价过程中逆周期因子的使用进行了测算，并构建非限制性VAR模型分析了中国央行两次启用逆周期因子的驱动因素和实施效果。研究发现：第一，相对于官方公布时间，两次逆周期因子调节均呈现出提前开始和滞后结束的情况，且调整幅度呈现逐渐收窄的趋势；第二，第二次逆周期因子的调节幅度大于第一次；第三，人民币汇率波动是第一次逆周期因子调节的主要驱动因素，而离岸在岸汇价差和汇率政策不确定性是第二次逆周期因子调节的主要驱动因素；第四，两次逆周期因子调节均对人民币汇率波动产生了抑制作用，但加剧了离岸市场人民币贬值预期。

COUNTER CYCLICAL FACTOR OF RMB EXCHANGE RATE:TIMING,DRIVING FACTORS AND IMPLEMENTATION EFFECT

This paper calculates the counter cyclical factor used in the RMB exchange rate pricing from May 2017 to September 2019. In this paper, a non restrictive VAR model is built to analyze the driving factors and implementation effects of the People's Bank of China (PBC)'s two uses of counter cyclical factor. The study finds that: First, compared with the time of official announcement, the two counter cyclical factor adjustments started earlier and ended later, and the adjustment ranges gradually narrowed; second, the adjustment range of the second counter cyclic factor adjustment was larger than that of the first adjustment; third, the RMB exchange rate volatility was the main driving factor for the first counter cyclical adjustment, while the gap between offshore and onshore exchange rates and the uncertainty of exchange rate policies were the main driving factors for the second adjustment; fourth, the two counter cyclical factor adjustments both restrained RMB exchange rate volatility, but intensified the expectation of RMB depreciation on offshore market.