原创 2016-01-24 季天鹤央行观察

长期以来，在中国受到较多关注的是股票市场和商品市场，整个固定收益市场，包括货币市场、债券市场和外汇市场则较为陌生。除了主观上的不熟悉之外，在客观上，货币市场、债券市场和外汇市场有着较为接近的市场结构，但这一市场结构与股票市场和商品市场有非常大的不同。本文试图从人民币汇率分析的基本问题出发，描绘外汇市场分析的基本框架。

股票市场和外汇黑市

市场主体对股票市场往往有直接体验。股票的潜在买方在银证转帐后，银行存款变为保证金存款，而股票的潜在卖方手里有股票，而这股票乃是上市公司自己创造的结果，无论是通过IPO、配股、增发创造的，还是在上市之前的公司注资、增资等。股票市场的交易，就是股票买方和卖方各自报价，在不同的价格上成交。在交易中，股票买方的钱少了，股票多了，而股票卖方的钱多了，股票少了。买方出的钱和卖方得到的钱的数量可能有差异，这个差异就是税费，但股票的数量则没有差异。
在外汇市场，无论是外币还是本币，都是货币，也就涉及到货币相关的很多问题，特别是货币的定义。和股票市场类似的外汇市场，恐怕是外汇黑市。有一些人有人民币纸币，想换美元纸币，而有一些人有美元纸币，愿意接受人民币纸币。在双方交易中，原先的人民币纸币持有者的人民币纸币少了，美元纸币多了，而原先的美元纸币持有者的美元纸币少了，人民币纸币多了。说不定美元卖家还要留下一些钱应对罚款，这和股票市场就更像了。

但是，正如纸币已经不是货币的主要形式一样，上述的黑市交易也不是外汇市场的主要形式。外汇市场的交易，必定是一种货币标价的存款，和另一种货币标价的存款之间的交易。储户会把人民币存款变成美元存款，中国银行会把自己的人民币头寸变成外币头寸，不会再有大量的纸币交易了。但正因涉及到了货币，我们就要考虑货币流动和货币创造的关系。

我们考虑人民银行和美联储的黑市型交易。造币总公司和联储的铸币厂在海上会面，每个人都拿着很多箱纸币。双方谈好价格后，很多箱纸币就此换手，这个过程和上面说的黑市交易，除了规模很大，没有罚款之外，似乎并没有什么别的区别。但仔细思考，我们就要想到，对双方而言，无论是人民币纸币，还是美元纸币，都分别是人民银行和美联储的负债，而负债是可以创设的。但人民币纸币和美元纸币对于前面提到的黑市交易散户，则都是资产，不是自己说创造就能创造的。

创设负债和交换资产的区别，在于对买卖双方的资产负债表的影响。散户外汇黑市交易里面，交易前后的双方，资产负债表规模没有变化。人民币卖家少了人民币多了美元，人民币买家少了美元多了人民币，双方的资产负债表规模在交易前后均各自保持不变。但人民银行和美联储的纸币外汇交易，将使双方的资产负债表共同变大。人民银行负债侧增加了流通中货币，也就是人民币纸币，而资产侧将增加国外资产，也就是美元纸币。美联储负债侧也增加了流通中货币，也就是美元纸币，而资产侧则增加了国外资产，也就是人民币纸币。

上述央行间的黑市型交易，在现实当中表现为货币互换。美联储和人民银行如果进行了货币互换，那么人民银行资产侧就在美联储有了美元存款，而负债侧有了联储在人行的存款。同时，美联储在人民银行有了人民币存款，而自己的负债侧则有了人行在自己这里的美元存款。而鉴于两家央行资产侧都有了外币，那么就可以用这个外币做很多事情。如果不是货币互换，而是创造货币后买卖，那么人行和联储的负债侧就会因上述货币创造而永久性的扩大，而不会像互换一样在到期的时候收缩。

而央行间的外汇黑市型交易，如果对应到股票市场，会是什么情况？我们可以考虑银行炒股这个故事。银行不停地创造存款，但通过IPO买入公司股票，资产侧增加了股票，负债侧增加了存款，而上市公司资产侧增加了存款，所有者权益侧增加了股票。而在IPO时的股票价格，则和央行间的外汇黑市型交易中的汇率一样。如果上市公司发行的是公司债，那么银行买债就和央行间外汇黑市交易更像了，都是资产负债同时扩大，不涉及所有者权益。当然，在中国银行不能直接购买股票，上市公司也不能频繁发新股和回购，所以上述过程对于市场而言非常陌生，也使得外汇市场无法通过人们对股票市场的体验来理解。

当然，除了散户外汇黑市交易这种纯粹货币流动/没有货币创造/资产负债规模不变的交易，以及央行外汇黑市交易这种纯粹货币创造/资产负债规模都扩大的交易之外，还包含着一方扩表一方不扩表的交易。例如人民银行发行了新的人民币纸币给花旗银行，换来了花旗手里的美元纸币，而花旗银行则减少了美元纸币资产，增加了人民币纸币这种国外资产。人民银行的资产负债表扩大了，但花旗银行的资产负债则保持不变，只是资产种类变化。

此外，上述所有交易的共同点，在于交易双方的资产都发生了变化。黑市交易的两个散户在交易前后，每一方面都增持了另一种货币；央行间的交易前后也是如此，交易后人行持有了美元，联储持有了人民币；人行和花旗的交易也是如此，交易后人行持有了美元，花旗持有了人民币。只有资产发生变化的交易，才叫做交易，而我们后面会看到，往往被人们看作是外汇交易的结售汇，和严格意义的外汇交易，有本质的区别。

综上，我们看到，外汇市场分析的第一个重点，是本币和外币的创造，是资产负债的扩大，这是在分析非常宏观的外汇问题时所需要注意的第一个点。

外汇和外汇存款

存款是一种很特殊的债务，他和存单、债券、同业拆借等有不同。我们先考虑同业拆借，同业拆借不存在二级市场，它只有到期偿付这样一种模式，回购只是在上面增加了一个抵押品，抵押品可以被出资人动用，也可能不得动用，但出资人拥有的对融资人的债权并不能流通。而存单和债券则有二级市场，当然二级市场也有流动性很好和流动性不好之分。流动性不好的债券和同业存单就和拆借类似，从流动性好到流动性不好，再到没有流动性，中间是有很多层次，而不是非黑即白的。

而存款和上述的债务有很多不同，大家平时可能不会仔细考虑。存款特别是活期存款可以要求提取纸币硬币，当然债券持有者也可以，只不过需要在到期的时候才有这一权利。但存款有两个功能是债券所不具备的。一个是转帐，即如果储户发起转帐，比如从工商银行转移到建设银行，那么工商银行就要行动，工商银行的债权人就这样变成了建设银行的债权人。

工商银行和建设银行自己还要结算，要么是某种资产跟着转移，要么就是创设新的同业债权债务。我们很难想象工商银行的债券持有者，某天和工行说我要跑，我要变成建设银行的债权人了，工行和建行肯定都不答应。而存款的上述功能，恐怕是和纸币时代银行的无条件兑付有关。如果银行不同意转帐，储户肯定就要求兑付纸币，然后将纸币存入建设银行了。

而另一个功能，则是和外汇有关的结售汇。一个持有人民币存款的储户，到银行说我要把人民币存款变成美元存款，银行就照做了，于是人民币存款持有者变成了美元存款持有者。这对于债券持有者而言是不可想象的，一个工行人民币债的持有者，和工行说我要变成美元债持有者，工行恐怕是不能同意的，更不要说这个人民币债持有者不但要变成美元债持有者，还要求放弃持有工行美元债，而持有建行美元债了。

当然，债券市场的上述“不可能”，完全可以随着技术的发展变成可能，只要工行和建行两方面谈出一个价格就行。但我们需要注意，目前的这种区别本身，已经反映在了价格里。一种随时可以赎回的债券，和一种必须要到期才能兑付的债券，肯定有不同的利率。债券持有者获得的利率，是以放弃某种权利为代价的，不可能又要随时兑付，又要高利率。建行或许也愿意和工行提出一个债务大挪移方案，但目前肯定非常贵，所以还不可能。

这或许是存款的第三个特点。在存款转账和结售汇业务下，所有的银行已经达成了一个技术和价格上的默契关系。转账都是自动和等价的，储户转账多少，银行间就转账多少。结售汇则有价格，不同银行价格可能不同。美元存款在中国还没有达成技术和价格上的默契，不能随意转账。债券之间随意兑换肯定就更不现实了。

那么接下来我们需要思考：银行的外汇存款到底是什么？一个问题是中国为什么需要国外的美元贷款。如果工行的美元存款可以通过自己发放美元贷款创造出来，工行的人民币存款可以随意通过结售汇而创造出来，那么中国自己就可以创造出美元来，永远不会有美元荒。银行自己就可以创造出美元来，而不需要央行的外汇储备。

上述这个问题的提出本身就说明，银行外汇存款和前面提到的美元纸币或者说国外美元贷款有本质的差别。工商银行美元存款作为银行负债，与工商银行资产侧美元纸币之间的关系，和工商银行人民币存款作为银行负债，与工商银行资产侧人民币纸币的关系，是完全一样的。美元存款之所以有价值，乃是基于其可以兑换美元纸币，正如人民币存款之所以有价值，乃是基于其可以兑换人民币纸币。

而美元存款和美元纸币之间，正如人民币存款和人民币纸币之间，有一种比率关系。当然在现代，这种比率关系不是纸币与存款间，而是存款与存款间。人民币的比率大概是个超额准备金率，是银行在央行的存款/储户在银行的存款，而外币的比例也是个超额准备金率，是银行在某个行的外币存款/储户在银行的外币存款。这里之所以说某个行，因为上面还可以再叠加一层结构，比如人行。

那么工商银行创设了很多美元存款之后，会有什么问题呢？首先，如果都是本行储户行内转帐的话，那么我们看不出什么问题。其次，如果跨行转帐，但是对方银行满足于成为工商银行的债权人，也就是说虽然我给我美国的朋友开户的银行转帐，但他的银行满足于在工商银行持有债权，那么这个转帐也能成功。

但一般情况下，美国朋友的银行不会满足于在工商银行持有债权的，工商银行在我发起跨境转账之后，需要给美国朋友的开户银行某些东西，才能完成整个交易。而如果工商银行资产侧都是大楼，负债侧都是美元存款，那么在我发起转账之后，工商银行除了楼之外，没有什么能够给美国银行的。而如果美国银行有权利拒绝楼，那么工行就陷入了不能执行转帐要求的麻烦。而如果我要求的不是转帐，而是提取美元现钞，那么资产侧只有楼房的工行，也不能满足我的要求。工行在事实上被挤提了，等待他的就是倒闭，因为他无法兑付债权人的提款需求了。

而一般情况下，我在发起美元汇款时，银行会有怎样的操作？这个问题其实非常关键，但很少有人考虑。一般来说，工商银行会在境外有同业的帐户，在我发起转帐的过程中，这个同业的帐户也会变动，金额会减少，而收款银行的资产侧会增加。这个过程可以很复杂，可能是美国银行间的交易，也可能是涉及央行的交易。在转帐这个目前成为主流的业务（相对于取现）里，所有的操作都会涉及到某种债权债务的形成、流转和消失，这是我们在考虑外汇问题时需要注意的。

转账可能涉及非常复杂的交易。比如说离岸银行储户购买中国政府发行的人民币国债，那么首先储户的离岸人民币存款少了，央行负债侧政府存款多了，但央行的资产负债是平的，哪项减少呢？答案是银行在央行存款。而离岸银行在央行没有存款户，不可能是他在央行的存款减少，所以减少的，肯定是某个在岸银行在央行的存款。而这个在岸银行资产侧减少不能白少，负债侧肯定要少，那么少的就是这个离岸银行在这个在岸银行的存款，而这个离岸银行在在岸银行存款减少，离岸储户在离岸银行存款减少，资产负债全都对齐了，清算全部结束。

从外汇储备的角度讲，他也有肯多可能性。外汇储备可以直接对应联储负债侧么？如果不能的话肯定对应国外的银行负债侧，甚至某个中资银行的负债侧，通过前面提到的一层一层的方式，最后直通联储的负债侧。这个链条可能很长。

如果我们仔细考虑境内的人民币与外汇结构，我们会看到如下情景。外币的来源是转帐和外国纸币存入。外国纸币存入时，银行增加外国纸币作为资产，同时增加了外币存款。转账时，银行增加了国外债权，同时增加了外币存款。注意，这个跨境收款与外币存款存入本质上是一样的，对于银行来说都是增加了国外资产，而且都是债权，跨境转帐是对国外银行的债权，而外国纸币存入则显然是对境外央行的债权，尽管这种债权在现在只是形式上的。

跨境收付款和外币存取款中，银行都在扩表，一方面是增加了国外资产，另一方面增加了国内的外币负债。这时候我们要考虑一个问题：银行是不是在无成本的套取人们的所谓血汗钱。这是在讨论外汇储备的时候经常出现的一个问题，因为看起来央行什么都没做，就把外汇拿到了，同时轻松创造出来人民币，而外汇被看作是挣来的，人民币则被看作是创造出来的，前者需要血汗，后者则不需要血汗。

显然，提出上面关于外汇储备是不是套来的血汗钱的人，肯定没有考虑过银行转帐里面，银行增加了国外资产是不是套取了血汗钱，恐怕这些人从来都没想过银行资产侧有任何变化，以及还会认为，国内银行储户收到外币转帐后，外币就是储户的外币存款，因此并没有考虑过储户的外币存款增加，对国内银行意味着什么。

事实上，上述的银行多了外汇资产，储户也多了外汇资产的现象，乃是银行负债作为货币的产物。银行放贷就是典型的例子：银行多了贷款资产，同时多了存款负债，能不能说银行用创造的人民币让融资人债台高筑呢？如果银行是这样巧取豪夺的话，融资人为什么还要陷入这一圈套呢？此外，银行虽然在现在看起来只是创设，并没有流血流汗，但他其实承担了在未来兑付的责任，而且现在创造出来的东西，未来还要消失回去，不能只盯着创造出来，而不管消失回去。

如果说银行收到外币转帐，用凭空创造的外汇存款换来了国外资产，那么在储户转出的时候，能不能认为储户把凭空创造的外汇存款消灭，把银行的国外资产拿走呢？而且我们要注意到，上面讨论的都是外币转帐，外币存款，还没有人民币什么事情。所谓的央行发行人民币换取外汇，银行发行人民币换去外汇，都是之后的故事。持空手套白狼论点的人，先要讲清楚银行用外汇存款换国外资产这个操作，但其实银行有非常多类似的操作，比如人民币纸币存款，为什么银行什么都没干就把我的纸币抢走了呢？

结售汇操作不是黑市外汇买卖，而是另一种操作。很多人把储户用人民币存款兑换美元现钞当作是购汇或者银行售汇，把美元存款兑换人民币现钞当作是售汇或者银行购汇，其实这是合并了两个操作，即结售汇和提款。如果使用美元纸币找银行换人民币，则既可以看作是两个机构直接在交易，如同最开头我们提到的黑市交易的例子，也可以看作是美元纸币持有者先存入、再结汇、再取款这一系列的操作。

结售汇这个操作的厉害之处，在于使储户以及银行负债在人民币准备金体系和外币准备金体系中来回跳跃。考虑下面一种情况。银行持有1亿美元纸币和7亿元人民币纸币，负债侧有1亿美元存款和7亿人民币存款，看起来银行资产负债是相等的，但如果银行的1亿美元储户突然结汇，银行就有了14亿元人民币存款。如果人民币储户都要求提现，那么银行不能满足要求。反之，如果7亿人民币储户购汇，银行变成2亿美元存款负债，那么储户发起美元提现，银行业不能满足要求。

而如果考虑到银行贷款，使得银行乃是部分准备金的状态，例如1亿美元纸币，7亿人民币纸币，1亿美元贷款，7亿人民币贷款作为资产，对应2亿美元存款和14亿人民币存款的话，即使不发生结售汇导致的准备金体系来回跳跃，人民币储户自己就能把银行挤倒，美元储户自己也能把银行挤倒。如果换成转帐的情况，银行也会无法应对转帐。

外汇储备和外汇准备金率

一旦理解了银行的情况，我们可以迅速地考察央行的情况。银行在央行有人民币准备金存款和外币存款，而央行资产侧当然不会有人民币存款，而是一些贷款，实物黄金、固定资产、还有外汇储备。央行的人民币准备金率当然是0，而外币准备金率大概是几倍乃至几十倍，因为央行资产侧的外汇有3.3万亿美元，但是央行负债侧的话恐怕不会很大，因为境内银行的外币存款也只有几千亿美元。这里就涉及到了一个经典的孙国峰问题，一个每个固定收益研究员都要必须回答的问题，就是准备金率有没有上限，答案是没有上限。

这里需要特别指出，从央行的外汇储备到银行的外币存款，形成了一个链条：央行在境外银行存款—银行在央行的外币存款-储户在银行的外币存款。一旦储户发起对外汇款，人行在境外银行存款、银行在人行外币存款、储户在银行的外币存款全都会同时减少。考虑到银行在央行可以结售汇，因此银行在央行的人民币准备金存款也可以变成外币存款，跑到人行资产负债两侧的外汇准备金体系里面，降低其外汇准备金率。此外，银行负债侧的130万亿人民币存款，也可以随时转变为大量的外币存款，从而降低了银行的外汇准备金率。

最后我们看到的，乃是这样一个图景：央行外汇储备通过银行，间接地和银行负债侧的所有存款相连，这个比例是3.3万亿美元兑130万亿人民币，也就是一个1比40的汇率。但在具体转账中，则是储户先转移银行侧的外汇资产，同时减少自己的外汇存款。而银行则根据需要找央行，或者央行根据需要进行干预，银行和央行间的操作也是结售汇，即银行在央行的人民币存款变为外币存款，或者相反。上述的讨论明确揭示了一点，即在很宏观的层面上观察外汇市场，那么这个市场里充满了准备金、兑付、挤提、转帐和结售汇等操作。尽管从表面上看都是一买一卖，但和股票市场的买卖有着本质的不同。

而外汇准备金率过低，意味着挤提的风险提高，而一旦市场产生这种预期，那么挤提就会发生，被挤提的金融机构就会真的会倒闭。避免挤提的方法，对于银行来说有两种，一种是扩大分子，一种是减少分母。对于银行而言，如果储户要求汇出的美元很多，它可以通过找央行要美元的方式，也可以采取收回美元贷款的方式，其中后者可能会增加分子（同业贷款），也可能直接减少分母（非同业贷款）。但后者由于贷款的期限提前给定，无法说收回就收回，因此在中国，找央行是个比较简单的办法。

如果考虑离岸市场的话，我们会看到在岸和离岸找央行会有所区别。在岸找央行的典型例子是在8月底，央行大规模进行SLO，意味着如果不做的话，银行在央行的人民币超额准备金会有很大一部分变成外币，从而导致银行间的人民币流动性危机。而在离岸，由于离岸银行的央行其实是在岸银行，因此当在岸央行出手的时候，不但离岸银行会出现人民币存款减少的情况，在岸银行的在央行人民币存款也会减少，除非央行在在岸银行的负债侧开个户，持有离岸银行卖过来的人民币存款。而央行在银行持有存款债权，和央行在银行有逆回购债权，在资产负债上的效果是一样的，特别是在银行在央行的存款方面，没有区别。

但尽管央行在离岸可以产生影响，但毕竟隔着银行，相当于是央行在央行-银行的准备金率和银行-储户的准备金率之外操作。央行花一大笔外汇，会被银行轻松发放人民币贷款所抵消，因此人行现在非常注意约束在岸银行在离岸的“最后贷款人”职能，当然HKMA他大概影响有限，但也可以一起配合一下。而上述的准备金机制，乃是香港最近利率高企的基础。债务还在，但是钱没了，不想卖资产就得再找人借钱来还了。

央行的11号文则有了新办法，即让离岸的清算行和参加行在境内的存款自我冻结一部分，相当于在不知道准备金率的情况下确定一个法定准备金与超额准备金的比率。央行未来可以提高这个比率，相当于把可用的超额准备金极度压缩，来影响离岸的流动性扩张。这种制度，也是由于央行不是离岸银行的债权人，因此无法通过收回债务等方式约束离岸银行行为，只能通过冻结准备金的方式。

小结

上面就是人民币汇率分析中最底层的框架。实体经济的发展以及利率汇率水平，最后都要通过人民币和外汇的买卖、创造和消失等进行。资金从哪里来到哪里去，如何创造如何消失，一方面结合了宏观分析中关于贸易、投资、利率等因素，一方面结合了风险、价格波动、套利等交易策略，是基本面分析与技术分析、实体经济与交易策略的汇聚点与结合部。

而准备金率的扩张和收缩，则是市场断崖式下跌的根本原因，而识别这些潜藏的准备金率，首先需要从理论上分析谁是准备金，谁是准备金需要应对兑付的对象，也就是分子和分母。看不到上述问题，就如同一个人有骨头有肌肉，看起来很完整，摸起来也很结实，但由于没有关节，其实是完全无法行动的。

For a long time, China has paid more attention to the stock market and commodity market, while the entire fixed-income market, including the money market, bond market, and foreign exchange market, remains relatively unfamiliar. Aside from the subjective lack of familiarity, there is an objective difference in the market structure of the money market, bond market, and foreign exchange market compared to the stock and commodity markets. This article attempts to outline the fundamental framework of analyzing the foreign exchange market based on the basic issues in RMB exchange rate analysis.

Stock Market and Foreign Exchange Black Market

Market participants often have direct experience with the stock market. Potential buyers of stocks turn their bank deposits into margin deposits after transferring funds from their bank accounts to brokerage accounts. On the other hand, potential sellers of stocks hold shares of companies that were created by the companies themselves, whether through IPOs, rights issues, or other means of share issuance. Stock market transactions involve buyers and sellers quoting prices and conducting trades at different prices. During these transactions, the money of stock buyers decreases while their stocks increase, and the money of stock sellers increases while their stocks decrease. Any difference in money exchanged represents taxes and fees, but the quantity of stocks remains unchanged. In the foreign exchange market, whether dealing with foreign currency or domestic currency, it involves currencies and raises many currency-related issues, especially in terms of currency definition. Similar to the stock market, the foreign exchange market may resemble a foreign exchange black market. Some individuals have Chinese yuan (CNY) banknotes and wish to exchange them for US dollars (USD) banknotes, while others have USD banknotes and are willing to accept CNY banknotes. In this trade, the holder of CNY banknotes ends up with fewer CNY and more USD banknotes, while the holder of USD banknotes ends up with fewer USD and more CNY banknotes. Perhaps the USD seller even needs to set aside some money to cover potential fines, making it even more akin to the stock market.

However, just as paper currency is no longer the primary form of currency, the black market-style trade described above is not the main form of the foreign exchange market. Foreign exchange market transactions are inevitably deposits denominated in one currency being exchanged for deposits denominated in another currency. Depositors may convert CNY deposits into USD deposits, and Chinese banks may convert their CNY positions into foreign currency positions. Large-scale paper currency transactions are no longer prevalent. Yet, because it involves currency, we must consider the relationship between currency circulation and currency creation.

Let's consider the black market-type transactions between the People's Bank of China (PBOC) and the Federal Reserve. Representatives from the China Banknote Printing and Minting Corporation and the Federal Reserve's coinage factory meet at sea, each carrying numerous boxes of banknotes. After agreeing on a price, a significant number of banknote boxes change hands. This process is similar to the black market transaction mentioned earlier, except for its larger scale and the absence of fines. However, upon closer examination, we must realize that both CNY banknotes and USD banknotes, whether held by the PBOC or the Federal Reserve, are liabilities of these central banks and can be created. However, for retail participants in the black market exchange of CNY and USD, these banknotes are assets, not something they can create at will.

The difference between creating liabilities and exchanging assets lies in the impact on the balance sheets of both sides of the transaction. In the case of retail foreign exchange black market transactions, the balance sheet size remains unchanged before and after the trade. The holder of CNY loses some CNY and gains some USD, while the holder of USD loses some USD and gains some CNY. The size of the balance sheets of both parties remains unchanged before and after the trade. However, the black market-style transactions between central banks, such as the PBOC and the Federal Reserve, lead to an expansion of both parties' balance sheets. On the liability side of the PBOC's balance sheet, the circulation of currency, specifically CNY banknotes, increases, while the asset side gains foreign assets, specifically USD banknotes. On the liability side of the Federal Reserve's balance sheet, the circulation of currency, specifically USD banknotes, increases, while the asset side gains foreign assets, specifically CNY banknotes.

In the aforementioned black market-type transactions between central banks, they correspond to currency swaps in reality. If the Federal Reserve and the PBOC engage in a currency swap, the asset side of the PBOC gains USD deposits at the Federal Reserve, and the liability side of the PBOC gains deposits at the Federal Reserve. Simultaneously, the Federal Reserve gains CNY deposits at the PBOC, and its liability side gains deposits at the PBOC. With both central banks having foreign currency assets on their balance sheets, they can perform various actions using these foreign currencies. If not for currency swaps, but rather creating and trading currencies, the liability side of both central banks' balance sheets would permanently expand due to currency creation, unlike swaps where they would contract upon maturity.

What would be the corresponding situation in the stock market for such foreign exchange black market-type transactions? We can consider the story of banks trading stocks. Banks continuously create deposits, but by purchasing company stocks through IPOs, their asset side gains stocks, while their liability side gains deposits. Similarly, the company's asset side gains deposits from the IPO and its owner's equity side gains stocks. The stock price during an IPO is analogous to the exchange rate in the black market-type foreign exchange transactions between central banks. If a company issues corporate bonds instead of stocks during an IPO, the bank's purchase of bonds becomes more similar to foreign exchange black market-type transactions between central banks, both leading to an expansion of assets and liabilities without affecting owner's equity. Of course, Chinese banks cannot directly purchase stocks, and companies cannot frequently issue new shares or conduct buybacks. These differences make these processes quite unfamiliar in the market, making it difficult for people to understand the foreign exchange market based on their experience with the stock market.

Additionally, apart from the purely currency circulation/trading without currency creation/unchanged balance sheet size transactions in retail foreign exchange black markets and the purely currency creation/expanded balance sheet size transactions between central banks, there are transactions where one side expands its balance sheet while the other side does not. For instance, the PBOC issuing new CNY banknotes to Citibank in exchange for USD banknotes held by Citibank. As a result, the PBOC's asset side expands, while Citibank's balance sheet remains unchanged, only changing the composition of its assets.

Moreover, all the transactions mentioned above have one common characteristic: both sides of the transaction experience changes in their assets. In the black market transactions, both parties increase their holdings of the other currency before and after the trade. Similarly, in the transactions between central banks, the PBOC holds USD after the trade, and the Federal Reserve holds CNY. Only when assets change hands can a transaction be considered a trade. However, as we will see later, this kind of buy/sell transaction, often seen as foreign exchange trading and different from strict foreign exchange trading, has essential distinctions.

In conclusion, we see that the first key point in foreign exchange market analysis is the creation of domestic and foreign currencies, leading to the expansion of asset and liability balances. This is the first aspect to consider when analyzing broad foreign exchange issues.

Foreign Exchange and Foreign Currency Deposits

Deposits are a unique form of debt that differs from certificates of deposit, bonds, interbank borrowing, and other instruments. Let's start by considering interbank borrowing. Interbank borrowing lacks a secondary market; it follows a pattern of maturity payment, and repurchase agreements simply add collateral with the possibility of being utilized or not. However, the claim holders on the financing side in these cases cannot circulate their claims. In contrast, certificates of deposit and bonds have secondary markets, with varying degrees of liquidity from good to poor. Bonds with poor liquidity and interbank certificates of deposit are similar to interbank borrowing, presenting multiple levels of liquidity from good to poor, rather than being strictly black or white.

Deposits have many differences from the aforementioned debt instruments, which people might not consider in everyday situations. Deposits, especially demand deposits, allow for the withdrawal of paper currency and coins. This feature also exists for bondholders, but only at maturity. However, deposits possess two functions that bonds lack. One is transfers. When a depositor initiates a transfer, such as from Industrial and Commercial Bank of China to China Construction Bank, Industrial and Commercial Bank must act, and the claim holders of Industrial and Commercial Bank's debt become China Construction Bank's claim holders.

Industrial and Commercial Bank and China Construction Bank also need to settle; either certain assets move along or new interbank debt and claims are created. It's hard to imagine the holder of Industrial and Commercial Bank bonds telling the bank one day that they want to switch to being claim holders of China Construction Bank instead. Both banks would likely reject this request. However, the aforementioned function of deposits might be related to the unconditional redemption of banknotes during the paper currency era. If the bank declines a transfer, the depositor would undoubtedly demand redemption of banknotes and then deposit them into China Construction Bank.

The other function is related to foreign exchange settlements. A depositor holding Renminbi (RMB) deposits can go to the bank and say they want to convert their RMB deposits into USD deposits. The bank will comply, transforming the RMB deposit holder into a USD deposit holder. This is inconceivable for bondholders. A holder of an Industrial and Commercial Bank RMB bond cannot simply tell the bank that they want to become a holder of USD bonds from the bank, let alone abandon the Industrial and Commercial Bank USD bonds they hold to acquire China Construction Bank USD bonds.

Of course, the "impossibility" in the bond market can evolve into possibility with technological advancements, as long as a pricing agreement is reached between Industrial and Commercial Bank and China Construction Bank. However, this existing distinction is already reflected in the prices. A bond that can be redeemed at any time and a bond that must reach maturity for redemption certainly have different interest rates. The interest rate bondholders receive comes at the cost of giving up certain rights; it cannot simultaneously provide immediate redemption and high interest rates. China Construction Bank might be willing to propose a massive debt transfer scheme to Industrial and Commercial Bank, but currently, it's undoubtedly costly, making it infeasible.

Perhaps this is the third characteristic of deposits. Under the operations of fund transfers and foreign exchange settlements, all banks have reached a tacit agreement on technology and pricing. Transfers are automatic and equivalent; however much a depositor transfers, that's how much interbank transfers occur. In foreign exchange settlements, pricing is involved, and different banks might have different prices. USD deposits in China have yet to achieve a tacit agreement on technology and pricing; they cannot be transferred freely. It's even more unrealistic to think about arbitrary exchanges between bonds.

So, the next step is to consider what exactly bank foreign currency deposits are. One question is why China needs foreign USD loans. If Industrial and Commercial Bank's USD deposits can be created by issuing their own USD loans, and their RMB deposits can be freely created through foreign exchange settlements, then China could create USD on its own, without needing foreign exchange reserves from the central bank.

The very question raised above indicates that bank foreign currency deposits and the previously mentioned foreign USD loans have fundamental differences. Industrial and Commercial Bank's USD deposits as bank liabilities and the relationship between Industrial and Commercial Bank's assets in the form of USD banknotes are completely identical to the relationship between Industrial and Commercial Bank's RMB deposits as bank liabilities and their assets in the form of RMB banknotes. The value of USD deposits lies in their convertibility into USD banknotes, just as the value of RMB deposits lies in their convertibility into RMB banknotes.

There's a ratio between USD deposits and USD banknotes, just as there is between RMB deposits and RMB banknotes. However, in the modern context, this ratio doesn't exist between banknotes and deposits but rather between deposits themselves. The ratio for RMB is the required reserve ratio, defined as the bank's reserves at the central bank divided by deposits at the bank. Similarly, the ratio for foreign currency is a required reserve ratio, where a bank's foreign currency deposits at another bank are divided by the bank's foreign currency deposits. There might be another layer added on top, such as the central bank.

So, after Industrial and Commercial Bank creates many USD deposits, what problems could arise? First, there aren't apparent issues if the transfers are all within the same bank. Secondly, if cross-bank transfers occur and the receiving bank is content being a claim holder of Industrial and Commercial Bank, i.e., even though I initiate a cross-border transfer to my friend's bank in the US, their bank is content holding claims from Industrial and Commercial Bank, then the transfer will succeed.

However, in most cases, the receiving bank for my friend in the US won't be content just being a claim holder of Industrial and Commercial Bank. After I initiate a cross-border transfer, Industrial and Commercial Bank must provide something to my friend's bank to complete the transaction. And if Industrial and Commercial Bank's assets are mainly buildings and liabilities are mainly USD deposits, after I initiate a transfer, Industrial and Commercial Bank has nothing to offer to my friend's bank except buildings. If the US bank has the right to refuse buildings, then Industrial and Commercial Bank is in trouble, unable to fulfill the transfer request. And if I'm not requesting a transfer but rather withdrawing USD cash, and Industrial and Commercial Bank's assets are predominantly buildings, they can't fulfill my request either. Industrial and Commercial Bank is cornered, waiting for bankruptcy, as they can't meet the demand for withdrawals from claim holders.

In general, when I initiate a USD remittance, what operations does the bank undertake? This question is crucial but rarely considered. Generally, Industrial and Commercial Bank will have an account with a foreign correspondent bank, and during my transfer, this correspondent bank's account will change, the amount will decrease, and the receiving bank's assets will increase. This process can be quite complex, possibly involving transactions among US banks or even transactions involving central banks. In the current mainstream business (compared to cash withdrawals), all operations involve the formation, circulation, and elimination of some form of debt and claim, which is something to note when considering foreign exchange issues.

Foreign exchange operations can involve complex transactions. For example, an offshore bank depositor purchasing RMB government bonds issued by the Chinese government. Initially, the offshore RMB deposits of the bank decrease, and the central bank's liabilities increase due to government deposits. However, the central bank's assets and liabilities remain balanced. Which part decreases? The answer is the bank's deposits at the central bank. Since offshore banks don't have deposit accounts with the central bank, the decrease couldn't be in their deposits at the central bank. So, the reduction is in the deposits the onshore bank holds with the central bank. This reduction also affects the onshore bank's assets and liabilities. After this complex web of transactions, everything is balanced.

From the perspective of foreign exchange reserves, multiple possibilities exist. Can foreign exchange reserves directly correspond to liabilities at the Federal Reserve? If not, they must correspond to foreign bank liabilities, or perhaps even liabilities of a Chinese bank, with a cascade-like structure, eventually reaching the Federal Reserve. This chain could be quite lengthy.

If we carefully consider the structure of RMB and foreign exchange within China, we can envision the following scenario. Foreign currency originates from transfers and the deposit of foreign banknotes. When foreign banknotes are deposited, the bank adds foreign banknotes as assets and simultaneously increases foreign currency deposits. In transfers, the bank increases foreign claims and foreign currency deposits. Notice that both cross-border receipts and foreign currency deposits are essentially the same – banks are increasing foreign assets and creating foreign debt on the domestic side. This, however, is not yet about RMB.

The so-called issuance of RMB by the central bank in exchange for foreign exchange, or the issuance of RMB by banks in exchange for foreign exchange, comes later. As a result, this discussion focuses on bank foreign exchange deposits and the issuance of RMB. The argument that "empty-handedly" receiving reserves from the central bank and "easily" creating RMB is flawed. Although it seems like the central bank hasn't done anything, it has obtained foreign exchange reserves, and RMB has been effortlessly created. However, foreign exchange is seen as "earned," while RMB is seen as "created," indicating that the former requires blood and sweat while the latter doesn't.

Clearly, those who raise the question of whether the acquisition of foreign exchange reserves involves "blood and sweat" have likely never considered the operations in bank transfers, whether banks acquiring foreign assets are "robbing" people's hard-earned money. They might not realize that banks also bear the responsibility of future redemption for what they create now. And while banks are seemingly creating something out of thin air, they also need to account for its eventual disappearance – focusing only on creation and ignoring the subsequent vanishing.

If we say that when banks receive foreign exchange transfers, they exchange the created foreign currency deposits for foreign assets, then when depositors withdraw, can we say that they destroy the created foreign currency deposits out of thin air and take away the bank's foreign assets? Moreover, we should note that the discussion has focused on foreign exchange transfers and deposits; RMB hasn't entered the equation yet. The central bank's issuance of RMB in exchange for foreign exchange and banks' issuance of RMB in exchange for foreign exchange are later stories. The people who argue about the central bank "extracting" blood and sweat and getting foreign exchange reserves have likely not considered that banks exchange foreign exchange deposits for foreign assets in transfers. However, banks engage in various operations of this sort, such as RMB banknote deposits. Why do banks take away my banknotes without doing anything?

Foreign exchange operations are not black market forex trading; they involve a different set of operations. Many people treat converting RMB deposits to USD banknotes and vice versa as forex purchases or bank forex sales, and converting USD deposits to RMB banknotes and vice versa as forex sales or bank forex purchases. However, these actions combine two operations: foreign exchange settlements and withdrawals. If I use USD banknotes to exchange for RMB at the bank, it can be viewed as two institutions directly trading, akin to the black market trade example mentioned earlier, or it can be seen as a series of operations involving depositing, settling, and withdrawing USD banknotes.

The brilliance of foreign exchange settlements lies in having depositors and bank liabilities leap between the RMB reserve system and the foreign currency reserve system. Consider the following scenario. A bank holds 100 million USD banknotes and 700 million RMB banknotes, with liabilities comprising 100 million USD deposits and 700 million RMB deposits. The bank's assets and liabilities seem balanced, but if a depositor initiates a USD settlement, the bank would have 1.4 billion RMB deposits. If all RMB depositors demand withdrawals, the bank cannot fulfill the requests. Conversely, if 700 million RMB depositors buy USD, the bank's liabilities would become 200 million USD deposits, and if depositors initiate USD withdrawals, the bank wouldn't be able to meet the demand.

And even if we consider bank lending, where the bank operates with partial reserve ratios (such as 1:7), for instance, 100 million USD banknotes, 700 million RMB banknotes, 100 million USD loans, and 700 million RMB loans as assets, corresponding to 200 million USD deposits and 1.4 billion RMB deposits, even if the reserve system doesn't leap back and forth due to forex settlements, RMB depositors and USD depositors could cause the bank to fail. In the case of transfers, the bank would also be unable to handle them.

Foreign Exchange Reserves and Foreign Exchange Reserve Ratio

Once we understand the situation of banks, we can quickly examine the situation of the central bank. Banks hold both RMB reserve deposits and foreign currency deposits with the central bank. On the asset side of the central bank, there won't be RMB deposits; instead, there are loans, physical gold, fixed assets, and foreign exchange reserves. The RMB reserve ratio of the central bank is, of course, 0, while the foreign currency reserve ratio is several times or even dozens of times, as the central bank's foreign exchange assets amount to 3.3 trillion US dollars, but its liabilities side might not be significant since the foreign currency deposits of domestic banks are only a few hundred billion US dollars. This brings up a classic question posed by Sun Guofeng, a question that every fixed income researcher must answer, which is whether there is an upper limit to the reserve ratio. The answer is no.

It's important to note that a chain is formed from the central bank's foreign exchange reserves to banks' foreign currency deposits: central bank deposits with overseas banks – banks' foreign currency deposits with the central bank – depositors' foreign currency deposits with banks. Once a depositor initiates a foreign exchange transfer, both the central bank's deposits with overseas banks and banks' foreign currency deposits with the central bank and depositors' foreign currency deposits with banks will all decrease simultaneously. Considering that banks can conduct foreign exchange transactions with the central bank, banks' RMB reserve deposits with the central bank can also be transformed into foreign currency deposits, entering the foreign exchange reserve system on the asset and liability sides of the central bank and reducing the foreign exchange reserve ratio. Additionally, the 130 trillion RMB in bank liabilities in the form of deposits can be converted into a large amount of foreign currency deposits at any time, thus lowering the bank's foreign exchange reserve ratio.

Finally, what we see is a scene where the central bank's foreign exchange reserves are indirectly connected to all deposits on the liability side of the bank. This proportion is 3.3 trillion US dollars to 130 trillion RMB, which is a ratio of 1 to 40. But in specific transfers, depositors first transfer the bank's foreign exchange assets and simultaneously decrease their own foreign currency deposits. The bank then contacts the central bank based on need, or the central bank intervenes as needed. The operations between banks and the central bank are also foreign exchange transactions, where the bank's RMB reserve deposits with the central bank are converted into foreign currency deposits, or vice versa. The above discussion clearly reveals that when observing the foreign exchange market from a macro perspective, it is full of operations such as reserve requirements, redemption, withdrawals, transfers, and foreign exchange transactions. Although it appears to be a buy-sell relationship on the surface, it fundamentally differs from trading in the stock market.

A low foreign exchange reserve ratio implies an increased risk of withdrawals, and once the market develops this expectation, withdrawals will occur, and the financial institutions facing withdrawals will indeed face the risk of collapse. There are two methods for banks to avoid withdrawals: expanding the numerator or reducing the denominator. For banks, if depositors request to remit a large amount of US dollars, the bank can obtain US dollars from the central bank or take the approach of recalling US dollar loans. The latter method might increase the numerator (interbank loans) or directly reduce the denominator (non-interbank loans). However, due to the pre-determined term of loans, it's not certain that recalling loans can be achieved. Therefore, in China, seeking help from the central bank is a relatively simple approach.

If we consider the offshore market, we will see differences in seeking help from the central bank onshore and offshore. A typical example of seeking help from the central bank onshore is the large-scale Standing Lending Facility (SLO) conducted by the central bank at the end of August. This implies that if not done, banks' excess RMB reserve deposits with the central bank will largely transform into foreign currency, leading to an interbank RMB liquidity crisis. However, offshore, since the offshore central bank is essentially an onshore bank, when the onshore central bank intervenes, not only will offshore banks experience a decrease in RMB deposits, but onshore banks' RMB deposits with the central bank will also decrease. Unless the central bank opens an account on the liability side of the onshore bank and holds the RMB deposits sold by offshore banks. Holding deposit claims, reverse repurchase claims, or holding deposits on the liability side of the central bank have the same effect on assets and liabilities, especially in terms of the onshore bank's deposits with the central bank; there is no difference.

Although the central bank can exert influence offshore, it's still separated by banks. It's like the central bank acting on the central bank-bank relationship and the bank-depositor relationship outside of the central bank. If the central bank spends a large amount of foreign exchange, it will be easily offset by banks' issuance of RMB loans, so the People's Bank of China is currently paying close attention to constraining the "last lender" function of onshore banks offshore. Of course, the Hong Kong Monetary Authority (HKMA) might have limited influence, but they can coordinate as well. The aforementioned reserve mechanism is the basis for the recent high interest rates in Hong Kong. Debts remain, but the money is gone. If you don't want to sell assets, you have to borrow money again to repay.

The central bank's Document No. 11 has introduced a new method, which is to let the clearing banks and participating banks offshore freeze a portion of their deposits onshore. This is equivalent to determining a statutory reserve-to-excess reserve ratio without knowing the reserve ratio. In the future, the central bank can increase this ratio, effectively compressing the available excess reserves and influencing the expansion of offshore liquidity. This system, due to the fact that the central bank is not the creditor of offshore banks, cannot constrain the behavior of offshore banks through means such as recalling debt. Instead, it can only freeze reserves.

Summary

The above framework represents the most foundational structure of RMB exchange rate analysis. The development of the real economy and the level of interest rates and exchange rates all ultimately go through the buying, creating, and disappearing of RMB and foreign exchange. Understanding where funds come from and where they go, how they are created and how they disappear, combines macro analysis factors such as trade, investment, interest rates, etc., and also integrates trading strategies such as risk, price fluctuations, arbitrage, etc. This is the convergence and combination of fundamental analysis and technical analysis, real economy, and trading strategies.

The expansion and contraction of the reserve ratio is the fundamental reason for the cliff-like drop in the market, and to identify these hidden reserve ratios, it's necessary to first analyze who the reserves are, who the reserves need to respond to redemption, that is, the numerator and the denominator. Without considering the aforementioned issues, it's like a person having bones and muscles, looking complete and sturdy, but because there are no joints, they are completely unable to move.