Abstract On November 3, the China Foreign Exchange Trading Center data showed that the central parity of the RMB against the US dollar was 6.3310, a depreciation of 156 basis points from the previous trading day. On November 2, the central parity of the RMB against the US dollar was reported at 6.3154, a sharp appreciation of 341 basis points, and...
On November 3, the China Foreign Exchange Trading Center data showed that the central parity of the RMB against the US dollar was 6.3310, a depreciation of 156 basis points from the previous trading day. On November 2, the central parity of the RMB against the US dollar was reported at 6.3154, a sharp appreciation of 341 basis points, and the largest single-day increase since July 2005. Behind this phenomenon is the change in the pricing method of the RMB middle price.
Senior financial person Wu Xiaoping told reporters that after the "8·11" exchange rate reform, the central parity of the RMB exchange rate was significantly more market-oriented.
Recently, some media reported that Zhu Haibin, chief economist of JPMorgan China, said in a report to clients that the International Monetary Fund (IMF) will hold a board meeting on November 4 to discuss the SDR. The possible adjustment of the basket, the final decision may be announced immediately after the meeting, it may be revealed in a few weeks.
Market participants: "roller coaster" is normal
Recently, the RMB exchange rate has plummeted and fell like a roller coaster.
Data show that on October 30, the RMB exchange rate in China's inter-bank foreign exchange market rose by 392 basis points, closing price was 6.3175; but on November 2, it fell by 204 basis points, falling nearly half of the previous day's gain, closing price was 6.3379 .
Some traders said, "Everyone should get used to this kind of fluctuation. Compared with the foreign exchange fluctuations in mature financial markets, the volatility of the renminbi is still very small." In this regard, Wu Xiaoping holds the same opinion and believes that the volatility of the renminbi is not large. .
As the IMF is approaching the review of whether the RMB can be included in the SDR currency basket, the industry generally believes that in order to meet the short-term SDR requirements, the central bank [microblogging] will promote the central parity of the RMB exchange rate and the market transaction price, and promote domestic and foreign The exchange rate of the renminbi was agreed.
On October 30, both onshore and offshore RMB against the US dollar rose. The onshore RMB rose 392 basis points against the US dollar to 6.3174. The offshore RMB rose 246 points against the US dollar to 6.3244, and the intraday gain was over 300 basis points. , and the exchange rate difference between the shore and the shore continued to be close, and even once "upside down".
Wu Xiaoping believes that it is less common for offshore prices to appear “upside down†onshore prices. Some market participants believe that this is related to SDR. The central bank uses formal data to prove that the onshore and offshore spreads are small, that is, the RMB exchange rate has become quite market-oriented.
Wu Xiaoping also said that since the beginning of this year, the central bank has cut the interest rate several times, and the PMI data has been below 50 for several consecutive months. At present, China's economic fundamentals do not support the appreciation of the renminbi.
For the future trend of the renminbi, Huang Yi, head of foreign exchange and product trading at Guangdong Development Bank, pointed out in the report that the short-term renminbi fluctuated against the US dollar or within the range of 6.30 to 6.45. However, from the analysis of technical factors, it is impossible to rule out the possibility that the RMB exchange rate against the US dollar will fall below 6.30.
The middle price is associated with the closing price
Before the “8·11†exchange rate reform, the expansion of the RMB exchange rate elasticity was mainly reflected in the continuous expansion of the daily wave limit. In the inter-bank spot foreign exchange market, the trading price of the RMB against the US dollar can fluctuate within the range specified by the China Foreign Exchange Trading Center on the day-to-day exchange rate of the RMB against the US dollar, the so-called daily volatility limit.
Initially, the daily volatility was ±0.3%, which expanded to 0.5% on May 18, 2007, and expanded to 1% on April 16, 2012. On March 15, 2014, the volatility expanded to 2%.
In the process of exchange rate marketization, the RMB exchange rate has always been managed, and its management tools mainly have daily fluctuation limits and intermediate prices. Compared with the daily volatility limit, the reform of the middle price is relatively lagging behind.
On August 11, 2015, the central bank issued a “Statement on Improving the Middle Price Quotation of RMB against the US Dollarâ€: According to the exchange reform regulations, when the market maker quoted, “refer to the closing exchange rate of the interbank foreign exchange market on the previous dayâ€. This is equivalent to setting a reference frame for the middle price, clarifying the source of the market maker's quotation, thereby greatly reducing the space for the central bank to manipulate the middle price and handing over the dominant position of the middle price to the market.
Previously, the central parity of the RMB against the US dollar was priced by the China Foreign Exchange Trading Market to all inter-bank foreign exchange market makers (about 15) before the opening of the inter-bank foreign exchange market. After removing the highest and lowest quotes, the remaining quotes were weighted average. After that, the central parity of the RMB against the US dollar will be obtained on that day. The weight of the RMB exchange rate will be determined by the China Foreign Exchange Trading Center based on the trading volume and quotation of the quoting party in the inter-bank foreign exchange market.
Today, the central bank has slowly let go of the hand that grabbed the middle price. According to data from the China Foreign Exchange Trading Center, on November 3, the central parity of the RMB against the US dollar was reported at 6.3310, a depreciation of 156 points from the previous trading day. On the other hand, the closing price of Renminbi on November 2 was 6.3374, which was 64 basis points from the middle price on the 3rd. The median price on November 2 differs from the closing price on October 30 by only 21 basis points.
According to foreign media analysis data, before the “8·11†exchange rate reform, the correlation between the RMB central price and the previous day closing price was 0.70 from January 1 to August 10, 2015. After the exchange reform, 2015 From August 11 onwards, the correlation between the RMB central price and the previous day's closing price was 0.99. If the absolute value of the correlation is 1, it means that the correlation between the two is the highest, and the absolute value of 0 means that the correlation is the lowest.
In this regard, Huang Yi said, "Seeing today's closing price will also know the middle price of tomorrow, unless there is a particularly large change in the US dollar at night. Now the central parity of the RMB against the US dollar has become very market-oriented."
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