原创 2016-01-05 季天鹤央行观察

季天鹤

方正中期研究院研究员、央行观察专栏作家

2016年的开局，笼罩在联储紧缩流动性的阴影里。2015年12月31日，联储以美国国债抵押，进行了4745.91亿美元隔夜逆回购，1月4日到期，期限为4个日历日/1个交易日。这当然不是联储第一次进行逆回购操作，但却是近期规模最大的一次。联储的逆回购正如人行的回购，效果都是减少存款类机构在央行的存款规模。

4745亿美元的规模的确不小，因为存款类机构在联储的存款规模仅2.5万美元。如果把同等比例放在中国，相当于人行搞了一个4万亿的回购，肯定会吓坏整个市场。但话又说回来，人行十年前有比联储更为强大的工具，那就是央行票据。央行票据的规模，曾经是存款性公司在央行存款的80%以上，这当然又比联储逆回购要给力。

不过由于中国市场已经进入元旦假期，联储的操作无法立刻对中国金融市场造成影响。元旦期间的各种新闻和数据总体上比较中性，国家统计局的PMI虽然没有特别好，但也没有特别不好，甚至好的因素还多一点。央行方面，周行一如往年地访问了中央外汇业务中心，新年致辞里依然要求保持流动性“合理充裕”。相比之下，财政部则在12月31号发布了2016年一季度国债的发行计划，频率和2015年明显增多。

上述情况都给债券的走势投下了阴影。债券市场在去年12月下旬走出一波小牛市。尽管市场降准的呼声和猜测，遭遇了没有降准的冰冷现实，但国债期货还是在12月18日突破了之前数个星期的横盘格局，主力合约在全年的最后一周还创下新高。而在元旦期间消息的冲击下，国债期货在开盘后的15分钟内迅速走低，而债市各品种的收益率都有大幅的上行。

而在外汇市场，12月29日开始，离岸市场已经不太稳定，尽管央行在12月30日和31日疑似进行了干预（从报道上看说法尚不一致），但并没有阻拦住人民币下跌的势头。由于1月1日个人结售汇额度将重新计算，不少人赶在年底前把购汇额度用完，这样清零后就又可以继续购汇。上述集中操作无疑对人民币是一种打压。

比起汇市和债市而言，股市的开盘其实还算平稳。国债期货9点15分开盘，人民币中间价同时公布，都比股市提前。当股市在9点半开始交易的时候，国债期货已经下跌至全天低位，离岸人民币已经在中间价公布后迅速下跌了300点，但股市则并没有出现开盘就大跌的景象，反而是财新的PMI给了市场致命一击，然后便是在对熔断的担忧下争先出逃，促使了熔断的发生。

股市熔断了，债市并没有熔断。银行间隔夜回购的加权平均利率较去年年末下跌明显，但交易所市场则是另一番场景，隔夜逆回购利率飙升，盘中创下3个月以来的新高点，而且交易量创下了新高。不过有意思的是，当股市熔断之后，交易所隔夜逆回购利率反而下行，成交量也有所放大，反映了股市资金出来满足了融资需求。

相比之下，银行间债市还是以走跌为主，比较活跃的国开行债券150205，150210，150218等利率都有上行。国债期货尽管以下跌收盘，但在经历了开市后15分钟的重挫之后慢慢回升，跌幅缩窄。除了国债期货外，交易所成交量最大的债券010107，在全天也走出了先跌然后受到支撑的格局。这或许说明，全天的情况并不是一场流动性危机，而更多是一场预期与风险偏好的调整，否则债券市场和国债期货的反弹就不好解释。

债券市场休市了，外汇市场并没有休市。自2016年1月4日起，在岸外汇市场交易时间延长到晚上23点30分。在岸人民币尽管开盘贬值，但白天价格稳定，而从下午4点开始，在岸人民币开始迅速的走贬，从6.51 一路冲破6.53。考虑到欧元英镑等币种兑美元均有上行，可以说这一波人民币的贬值肯定不能归因于美元突然走强，而应该说就是人民币市场自身的原因。考虑到人民币贬值预期和购汇操作一直在进行，因此人民币贬值压力突然释放，自然就代表了央行对于这个问题的新看法。

为什么央行在上个星期似乎还在维护汇率的稳定，而过了个元旦就突然放手了呢？首先，2015年的外汇市场可以看作是三部分，一季度人民币贬值与央行干预交织，二季度汇率超级平稳，三季度的汇改使人民币的波动被释放出来。而2016年则从一开始就是汇改之后的高波动市场，人们已经在2015年最后的几个月里习惯了100点的波动，而300点/0.5%的波动也将很快为人们所接受，而这应该正是央行希望培育的市场状态。

其次，在未来的2016年里，其它货币的走势并不会是一帆风顺的，更不会是和人行隔离的。我们还记得去年9月联储受到人行汇改的影响而推迟加息，而人民币也在联储推迟加息与10月初公布的疲弱非农数据带动下，贬值压力有所消退。更何况，如果把目标放到一篮子货币的情况下，影响人民币指数的不光是美元走势，还有其它货币的走势，那么人民币对美元的汇率的重要性还会进一步下降。

更需要关注的是，央行是否在搞一套新的组合拳。周行在新年致辞中的“合理充裕”、人民日报上权威人士的“绝不要随便放水”、都指向了2016年的国债收益率水平未必会进一步走低。可能的情况是信贷与融资规模扩大，通过减少融资中间环节、清理僵尸企业占用的信贷资源的方式来降低融资成本，而不是通过降低整体利率水平的方式。换言之，让付得起利息的项目上马，让连利息都付不起的项目下马，不能让僵尸企业借着低利率苟延残喘。

在这一背景下，汇率方面的网开一面，应该算是为上述的利率政策创造一个稍微宽松的外部环境，使出口部门有所减压，而对僵尸企业维持高压，这也暗合了人民日报权威人士的“斩钉截铁处置僵尸企业，让僵尸入土为安”的呼吁。同时，考虑到2016年是利率市场化后的第一年，资金市场和债券市场波动可能上升，在这一情况下，央行在汇市有所放下，也是对政策施展空间的松绑。

在理论上，人行的观点其实是认为，中国的合意利率水平不会是非常低的水平，或者说目前其实已经到达了人行认为合适的利率水平。中国的实体投资回报率虽然没有过去高，但应该说比其他量化宽松的国家还是要高一些的。利率太低，造成人们在对回报率的不满足下，纷纷提高杠杆或者追求风险，自然对金融稳定有所不利。

2016年必将是非常不寻常的一年。熔断、注册制、债市互通、汇市延时和开放等，让中国金融市场全面在1月1日展现了新气象。虽然令人意外的是在这一天，股市大跌触发熔断、银行间交易所债券齐跌、人民币到了夜盘还在创新低，不过这也说明，中国金融市场在2016年将会有更多变化和发展。黑云压城之后，便是拨云见日。

The beginning of 2016 was shrouded in the shadow of the Fed's liquidity tightening. On December 31, 2015, the Fed conducted a $474.591 billion overnight reverse repurchase agreement with U.S. Treasury bonds as collateral, maturing on January 4 with a term of 4 calendar days/1 trading day. This was not the first reverse repurchase operation by the Fed, but it was one of the largest in recent times. The Fed's reverse repurchase, like the People's Bank of China's repurchase, aims to reduce the deposit balance of deposit-taking institutions at the central bank.

The scale of $474.5 billion is indeed substantial, as the deposit balance of deposit-taking institutions at the Fed is only $25,000. If the same proportion were applied to China, it would be equivalent to the People's Bank of China conducting a $4 trillion repurchase, which would certainly shock the entire market. However, it's worth noting that the People's Bank of China had more powerful tools than the Fed a decade ago, in the form of central bank bills. The size of central bank bills, which used to make up more than 80% of the deposit balance of deposit-taking institutions at the central bank, was even more potent than the Fed's reverse repurchase.

However, due to the fact that the Chinese market was in the New Year holiday period, the Fed's actions could not immediately impact the Chinese financial market. The various news and data released during the New Year period were overall neutral. Although the PMI from the National Bureau of Statistics was not particularly positive, it wasn't particularly negative either, with some positive factors even present. From the central bank's side, weekly operations such as visiting the China Foreign Exchange Trade System were carried out as usual, and the New Year address still emphasized the need to maintain "reasonable and ample" liquidity. In contrast, the Ministry of Finance released the issuance plan for the first quarter of 2016 government bonds on December 31, indicating increased frequency compared to 2015.

The above-mentioned situations cast a shadow over the bond market's trends. The bond market experienced a small bull market in late December 2015. Despite the calls and speculation for a reserve requirement ratio cut, which met with a cold reality of no cut, government bond futures broke out of a sideways pattern that lasted for several weeks on December 18. The main contract hit a new high in the last week of the year. However, with the impact of news during the New Year holiday, government bond futures quickly fell within the first 15 minutes of opening, and yields of various bond types rose significantly.

In the foreign exchange market, instability in the offshore market had already begun on December 29. Although the central bank seemed to intervene on December 30 and 31 (reports differ on this point), it did not stop the momentum of the yuan's depreciation. Since the personal annual foreign exchange quota would be reset on January 1, many individuals rushed to use up their quotas before the year-end, allowing them to continue purchasing foreign exchange after the reset. Such concentrated operations undoubtedly put downward pressure on the yuan.

Compared to the foreign exchange and bond markets, the stock market's opening was relatively stable. Government bond futures opened at 9:15 a.m., and the central parity rate of the yuan was also published, both ahead of the stock market's opening at 9:30 a.m. By the time the stock market started trading, government bond futures had already fallen to their daily low, the offshore yuan had dropped 300 points from the central parity rate, but the stock market did not experience a sharp decline at the opening. Instead, the Caixin PMI dealt the market a fatal blow, and concerns about circuit breakers triggered a rush to sell, ultimately leading to the activation of the circuit breaker mechanism.

The stock market circuit breaker was triggered, but the bond market's circuit breaker was not. The weighted average interest rate of interbank overnight repurchase noticeably decreased from the end of the previous year, while the exchange market depicted a different scene: overnight reverse repurchase rates surged, hitting a new high in intraday trading and with record trading volumes in the last three months. Interestingly, after the stock market circuit breaker was triggered, the overnight reverse repurchase rates on the exchange market decreased, and trading volumes expanded, reflecting that the funds flowing out of the stock market satisfied the demand for financing.

In contrast, the interbank bond market mainly experienced declines, with actively traded bonds like the 150205, 150210, and 150218 national development bank bonds showing rising yields. Although government bond futures closed lower after a fall, they slowly rebounded after a sharp drop in the first 15 minutes of trading, narrowing the decline. Apart from government bond futures, the most heavily traded bond, 010107, also exhibited a pattern of initial decline followed by support throughout the day. This perhaps indicates that the situation throughout the day was not a liquidity crisis but more of an adjustment in expectations and risk appetite. Otherwise, the rebound in the bond market and government bond futures would be difficult to explain.

While the bond market closed, the foreign exchange market did not. Starting from January 4, 2016, trading hours for the onshore foreign exchange market were extended to 11:30 p.m. Although the onshore yuan depreciated at the opening, the price remained stable during the day. However, from 4 p.m. onward, the onshore yuan quickly depreciated, breaking through 6.53 after starting at 6.51. Given that the euro, pound sterling, and other currencies had all appreciated against the U.S. dollar, this wave of yuan depreciation couldn't be attributed solely to a sudden strengthening of the dollar but rather to factors within the yuan market itself. Considering the continuous expectations of yuan depreciation and ongoing purchase of foreign exchange, the sudden release of yuan depreciation pressure naturally represented a new perspective from the central bank on this issue.

Why did the central bank seem to be maintaining exchange rate stability last week and then suddenly let go after the New Year? Firstly, the foreign exchange market in 2015 can be viewed in three parts: the intertwining of yuan depreciation and central bank interventions in the first quarter, super-stable exchange rates in the second quarter, and the release of yuan volatility after the exchange rate reform in the third quarter. In 2016, volatility started from the beginning after the exchange rate reform, and people had already grown accustomed to 100-point fluctuations in the last few months of 2015. A 300-point/0.5% fluctuation would soon be accepted, indicating that the central bank aimed to cultivate this market condition.

Secondly, in the coming year of 2016, the trends of other currencies will not be smooth, nor will they be isolated from the People's Bank of China. We remember that the Fed was influenced by the People's Bank of China's exchange rate reform in September of the previous year, delaying an interest rate hike. Additionally, the depreciation pressure on the yuan decreased due to the combination of the Fed's delay in raising rates and weak non-farm payroll data released in early October. Moreover, if we shift our focus to a basket of currencies, the importance of the yuan's exchange rate against the U.S. dollar will decrease further as it is influenced not only by the dollar's trend but also by other currency movements.

More importantly, is the central bank implementing a new combination of measures? The central bank's "reasonable and ample" in the New Year's message, as well as authoritative figures in People's Daily advocating "absolutely not to easily release liquidity," all point to the possibility that government bond yields in 2016 may not further decrease. The possible situation is an expansion of credit and financing scale, reducing the cost of financing by reducing intermediate steps in financing and clearing credit resources occupied by zombie companies, rather than lowering the overall interest rate level. In other words, projects that can afford interest should proceed, while those unable to afford even interest should be discontinued, preventing zombie companies from struggling on with low interest rates.

In this context, a somewhat relaxed external environment for exchange rates is necessary to create room for the aforementioned interest rate policy, easing pressure on export sectors and maintaining pressure on zombie companies. This aligns with the authoritative figures in People's Daily advocating the decisive handling of zombie companies and allowing them to exit the market. Meanwhile, considering that 2016 is the first year after the marketization of interest rates, volatility in the money market and bond market may increase. In this situation, the central bank's relaxation in the foreign exchange market is a loosening of policy constraints.

Theoretically, the central bank's perspective is that China's desired interest rate level will not be very low, or it has already reached a level that the central bank considers appropriate. Although China's physical investment return rate has not been high in the past, it is still higher than other countries undergoing quantitative easing. Extremely low interest rates encourage people to increase leverage or seek risk due to dissatisfaction with return rates, which is naturally unfavorable for financial stability.

2016 will undoubtedly be a very unusual year. Circuit breakers, registration systems, bond market linkages, delayed foreign exchange markets, and opening up all allowed China's financial market to present a new outlook on January 1. Although it was unexpected that on this day, the stock market triggered a circuit breaker, interbank exchange market bonds all declined, and the offshore yuan hit a new low during the night trading session, this also indicates that China's financial market will experience more changes and developments in 2016. After the dark clouds, the sun will rise again.