逆周期因子决定了人民币汇率走势吗*
DO THE COUNTERCYCLICAL FACTORS DETERMINE RMB EXCHANGE RATE

摘要 2017年5月26日，中国外汇交易中心人民币兑美元中间价报价机制中引入逆周期因子。本文利用引入新因子以来外汇市场交易数据，通过新的人民币汇率中间价定价机制，测算了逆周期因子数值。在此基础上，本文通过构建VAR模型和EGARCH模型研究了逆周期因子对人民币汇率走势和人民币汇率波动性的影响。研究表明，引入逆周期因子降低了人民币汇率波动性，但对人民币汇率的走势没有显著影响。逆周期因子修正了投资者对汇率变动顺周期性的过度反应，有利于引导市场预期，完善人民币汇率宏观审慎管理。
Abstract： A countercyclical factor was introduced into the RMBUS dollar midprice quotation mechanism on May 26，2017In this paper，we estimate the countercyclical factors from May 26 to October 31，2017，and analyze the relationship between the countercyclical factors and the exchange rate growth rate and volatilityWe find that the introduction of the countercyclical factors reduces the volatility of exchange rate fluctuationHowever，it has no significant effect on the level of exchange rateIt suggests that the countercyclical factor plays a signaling role in guiding foreign exchange market expectations，correcting market participants behaviors，and is helpful for macro prudential management of the RMB exchange rate