Research On The Influence Of Counter-cyclical Factor On The Fluctuation Of RMB Exchange Rate

At the beginning of 2017,in the context of the continued weakening of the US dollar index and the stabilization of the Chinese economy,the exchange rate of the RMB against the US dollar has not seen signs of appreciation,and there has been a situation that contradicts the fundamentals of the economy,highlighting the inherent defects in the RMB formation mechanism.Then,the People's Bank of China announced for the first time in May 2017 that the counter-cyclical factor was introduced into the RMB middle rate formation mechanism,stipulating that “the RMB against the US dollar middle rate= Last day's closing price+Rate of the RMB against a basket of currencies+ The counter-cyclical factor." This adjustment aims to hedge the procyclical fluctuations of the RMB exchange rate,prevent the “herd effect” and alleviate the irrational behavior of foreign exchange investors.Then,the exchange rate of the RMB against the US dollar ended its depreciation trend for nearly a year.After the appreciation of 5%,the trend of the RMB against the US dollar has gradually stabilized.This thesis uses the MS-GARCH model to fit the RMB exchange rate vol atility.The smooth probability shows that the RMB exchange rate fluctuation b efore and after the counter-cyclical factor is activated has produced a significan t regional conversion phenomenon.After the counter-cyclical factor was activate d twice,the RMB exchange rate shifted from the high fluctuation zone to the low fluctuation zone.Secondly,this thesis measures the counter-cyclical factor value through the new RMB exchange rate middle price pricing mechanism,an d builds a VAR model based on this model,which is analyzed by Granger ca usality test,impulse response and variance decomposition based on the model.The research shows that the counter-cyclic factor has a negative impact on the RMB exchange rate fluctuations,which plays a role in smoothing the fluctuatio n of the RMB exchange rate and counter-cyclical.The factor has little impact on the the RMB middle rate.Therefore,the counter-cyclical factor corrects the investor's excessive reaction to the cyclical fluctuation of the exchange rate,wh ich is conducive to guiding market expectations and improving the macro-prude ntial management of the RMB exchange rate.