解析逆周期因子

An Analysis on the Counter-Cyclical Factor

2017年5月末,中国人民银行在人民币中间价报价模型中引入逆周期因子。本文根据《中国货币政策执行报告》对中间价构成的描述建立中间价报价模型,测算出逆周期因子及逆周期系数,并讨论新中间价形成机制对中间价与人民币汇率变化的影响。研究表明,逆周期因子能有效抑制外汇市场顺周期的影响,而且不会减弱市场供求对中间价形成的影响。此外,提高中间价形成机制的透明度与规则性有利于提升中间价的指示能力。

Secretariat of the foreign exchange market self-discipline mechanism announced that the counter-cyclical factor was introduced into the RMB mid-price quotation mechanism at the end of May, 2017. In this paper, we calculated the counter-cyclical factor and counter-cyclical coefficient according to the description of mid-price quotation model in China Monetary Policy Execution report, and we analyze the effect of new formation mechanism of fixing rate on RMB exchange rate.Our research shows that the counter-cyclical factor can effectively inhibit the pro-cyclical influence from foreign exchange market and did not weaken the influence of market supply and demand on the fixing rate. In addition, improving the transparency and regularity of the mid-price formation mechanism helps to improve the indicative ability of the fixing rate.