Since May, with the improvement of fundamentals and the tightening of monetary policy, interest rates have continued to rise, and the exchange rate has also entered the channel of continuous appreciation at the end of May, which is the background of this round of RMB appreciation. From this perspective, exchange rate and interest rate are actually two sides of fundamental improvement.
What is directly related to exports is the effective exchange rate. Although the RMB has greatly appreciated against the US dollar, it has depreciated against the euro (1.2076, 0.00 13, 0. 1 1%), and its appreciation against the yen is relatively small. Therefore, from the perspective of effective exchange rate, the appreciation of RMB is not large. Since May, the RMB has appreciated by 3.77% against the US dollar, while the nominal effective exchange rate and the real effective exchange rate have only appreciated by 0.62% and 0.92%.
From the historical data, the effective exchange rate of RMB has a high correlation with exports, which is about 6 months ahead of exports. The impact of appreciation on exports may not begin to appear until the end of the year.
Before (1)20 14, RMB appreciated unilaterally, and the relationship between exchange rate and interest rate was weak.
As mentioned above, before 20 14, the correlation between exchange rate and interest rate was not high. Before 20 14, China's balance of payments showed a double surplus pattern as a whole, and the RMB faced continuous unilateral appreciation expectations except for a few points, so the exchange rate always appreciated regardless of domestic fundamentals. During this period, the exchange rate and interest rate were decoupled, and there was no obvious correlation.
(2) After the exchange rate reform of "811",the expectation of unilateral depreciation is strengthened.
2065438+August1kloc-0/2005, the People's Bank of China optimized the middle price quotation mechanism, and with reference to the closing price of the previous day, the supply and demand situation and the exchange rate changes of major international currencies, the floating flexibility of RMB exchange rate was obviously enhanced. In August 1 1, the RMB depreciated once 1.86%, and then continued to depreciate.
However, with the increasing downward pressure on the domestic economy and the outbreak of the second round of stock market crash, on August 25th, the central bank lowered RRR and cut interest rates again. Until the end of that year, the overall exchange rate depreciated and interest rates fell.
With the increasing expectation of unilateral devaluation and the sharp decline of foreign exchange reserves, the central bank has also begun to intervene in the exchange rate. On August 3 1 day, foreign exchange risk reserve will be levied for forward sale of foreign exchange; 20 15 and 12 RMB exchange rate indices were released, repeatedly stressing that RMB exchange rate depends on RMB exchange rate index; 2065438+February 2006, the middle price pricing formula "middle price = closing price on the last day+exchange rate of a basket of currencies" was officially announced to stabilize market expectations.
At this time, the central bank paid attention to the stability of exchange rate, and monetary policy was once constrained. For example, in the monetary policy implementation report of the fourth quarter of 20 15, it was mentioned that "with the strong significance of the RRR interest rate cut signal, it is possible to strengthen the expectation of policy relaxation, which may lead to an increase in the depreciation pressure of the local currency and lead to capital outflow under certain circumstances. Increase, foreign exchange reserves decline. "
From 2065438 to the beginning of 2006, the RMB exchange rate deviated from the US dollar index and depreciated sharply, which attracted market attention. Until February 29th, the central bank lowered the RRR again, releasing the signal of steady growth.
In the first half of 20 16, the exchange rate was basically stable, and the interest rate rose under the concern of "periodic repair". On June 24th, the referendum on Britain's withdrawal from the EU was passed, and the exchange rate of RMB against the US dollar exceeded 6.60. Under the influence of the Fed's expectation of raising interest rates, Britain's tough stance of Britain's withdrawal from the EU and Trump's election, the RMB exchange rate continued to break through important barriers.
After Britain withdrew from the EU referendum, the Bank of China issued an announcement to stabilize expectations, while the interest rate driven by outsourced funds continued to decline until 10 ended, and the bull market ended with the coming of "debt disaster".
At this stage, interest rates and exchange rates are often driven by the same factors, which all reflect the interaction of fundamentals, monetary policy and external environment. The market began to pay attention to the internal and external balance, and there were many discussions about whether to protect the exchange rate or interest rate. Although monetary policy pays attention to the periphery, it still keeps a domestic attitude and obeys the demand of steady economic growth, so the final result is a double drop in interest rates and exchange rates.
(3) From the end of 2065438+06 to the beginning of 20 18: the exchange rate rose and the interest rate rose.
In 20 16, the global recovery was synchronized, the US dollar index weakened as a whole, the spread between China and the United States widened, the balance of payments improved, and the central bank introduced countercyclical factors to guide market expectations. The RMB appreciated against the US dollar for more than a year from the end of 20 16 to the beginning of 20 18.
With the stabilization of fundamentals, the supervision started a round of deleveraging, and the bond interest rate continued to rise from the end of 20 16 to the beginning of 20 18.
The current interest rate and exchange rate are actually the reflection of economic recovery and monetary tightening. Interest rates rose before the exchange rate, but the exchange rate mainly followed the US dollar index and the spread between China and the United States. At that time, the central bank also followed the Fed to raise interest rates several times to maintain a high spread.
(4) Since 2065438+08: US dollar index, trade friction.
Since 20 18, the relationship between exchange rate and interest rate has changed. Sino-US relations and trade frictions constitute important determinants of exchange rate, while the influence of interest rate spread between China and the United States tends to weaken.
It can be seen that since 20 18, the exchange rate of RMB against the US dollar has followed the US dollar index as a whole, but it is often overshooted or even deviated.
From April to September, 2008, the depreciation of RMB obviously exceeded the change of US dollar index, which is behind the rapid warming of Sino-US trade disputes. From the end of 20 18 to April of 20 19, the exchange rate of RMB against the US dollar rose rapidly, once rising above 6.70, under the situation that Sino-US peace talks and trade frictions eased. 2065438+In May and August of 2009, Sino-US economic and trade relations became tense again, and RMB depreciated twice. At the end of 20 19, China and the United States reached the first stage of trade agreement, and at one time the US dollar index and RMB exchange rate appreciated at the same time.
In terms of bond interest rate, the influence of strict financial supervision in the early stage began to spread to the real economy from 20 18. At the same time, the Sino-US trade war broke out, and the overall monetary policy was loose under the pressure of steady growth. In 20 19, the monetary policy generally continued to be loose but restrained. In the fourth quarter, pig inflation and the rebound of inventory cycle once suppressed the bond market. After the outbreak of the epidemic in 2020, monetary policy was extremely loose. Since May, with the economic recovery, monetary policy has returned to normal. The trend of interest rate basically follows the changes of fundamentals and monetary policy during this period.
Generally speaking, both exchange rate and interest rate reflect the process from weak fundamentals to recovery, from loose monetary policy to tight monetary policy, and do not show obvious lead-lag relationship. Of course, in the specific rhythm, we can still see the restriction of exchange rate on interest rate:
For example, around August 20 18, the RMB depreciated sharply, and the central bank introduced a series of macro-prudential measures. At the same time, the market has doubts about whether monetary policy can be further relaxed. The interest rate temporarily adjusted back, and the interest rate and exchange rate deviated, but it ended with the signal of steady growth released by the central bank in June 20 10.
From August 2065438 to August 2009, the RMB broke 7%, but the bond market remained volatile, driven by the easing of trade negotiations and pig inflation.
As the exchange rate is dominated by the US dollar index and Sino-US relations, the impact of the interest rate spread between China and the United States on the exchange rate tends to weaken.