“逆周期因子”提高了人民币汇率中间价的市场基准地位吗？——基于时变溢出指数的实证研究

为了对冲外汇市场情绪的顺周期波动,缓解市场中的羊群效应,中国人民银行于2017年5月26日在人民币汇率中间价报价中引入"逆周期因子"。本文基于TVP-VAR模型,构造了时变的溢出指数,通过量化分析方法考察了"逆周期因子"对人民币汇率中间价基准地位的影响。研究发现,第一,"逆周期因子"的引入导致人民币中间价对其他汇率的溢出效应降低,中间价的基准地位被削弱。第二,从整个人民币汇率体系来看,"逆周期因子"的引入提高了汇率体系的总体溢出水平,系统的联动效应增强。第三,"逆周期因子"的引入对短期汇率体系的影响大于对长期汇率体系的影响。基于此,本文提出了应进一步完善"逆周期因子"的构成,实现逆周期与保持中间价基准地位并存等政策建议。

Does “Counter-Cycle Factor” Enhance the RMB Benchmark Status of the Central Parity Rate?——An Empirical Study Based on Time-Varying Spillover Index

On account of the asset nature of foreign exchange,investors may be affected by irrational expectations and ignore the fundamental factors,which can lead to a certain degree of pro-cyclical trend for the exchange rate.However,a quotation mechanism of the RMB central parity rate,namely"Closing price+A basket of currencies exchange rate fluctuations",can bring about rate fluctuations in accordance with the expected direction.Such fundamental changes with the unexpected direction will be ignored,resulting in asymmetric changes to a certain degree.In order to hedge the procyclical fluctuations of the foreign exchange market sentiment and ease the herding effect in the market,the central bank introduced the"counter-cyclical factor"in the quotation of the RMB exchange rate on May 26,2017.Since then,the central parity integrates three parts,including closing price,a basket of currencies exchange rate fluctuations and the counter-cyclical factor.Extracting data from January 5,2015 to November 6,2017 as samples,this study constructs a time-varying overall spillover index,a RMB central parity rate directional spillover index and a net spillover index,analyzing how the"countercyclical factors"affect the benchmark status of RMB central parity rate.The results are as followed.Firstly,the introduction of"counter-cyclical factor"leads to the decrease of the spillover effect of the RMB central parity rate on other exchange rates and weakens the benchmark status of RMB central parity rate.In addition,the introduction of the"counter-cyclical factor"increases the overall spillover rate of the exchange rate system and enhances the synergic effect of the system.Moreover,the introduction of the"counter-cyclical factor"has a greater impact on the exchange rate system over the short-term than the long-term.This paper finds that though the introduction of the counter cyclical factor can reduce the pro-cyclical behaviors in the market to certain extent,it weakens the benchmark status of the central parity rate as well.Therefore,the central bank should further improve the definition of"cycle"as in the counter-cyclical factor and calculate the factor via a relatively long-term relation between supply and demand,so that it can ease the herding effect in the market while maintaining the benchmark status of the RMB central parity rate.