2016-01-08 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

如果说去年央行8月份的汇改，让广大上半年把购汇额度用完的各位干着急，那么新年的新额度则让大家的购汇热情全面爆发。分散资产的配置需求和看跌人民币的投机需求，纷纷通过实际行动表达了出来。而除了新的结售汇额度，我们也看到了一个有新思路的央行，仿佛央行在新年伊始又搞了一轮汇改。

1月4日周一人民币收在6.53，可周二央行中间价开在了6.5169，在岸价格立刻乖乖回到6.52附近。而周三央行中间价又开到了6.5314，市场立刻就跑到了6.5550。而今天周四，央行直接把中间价开到了6.5646，市场一下子慌了，直接跑到了6.59，而脆弱的股市当然受不了央行这样的玩法，直接熔断。债券市场则感觉幸福来得太突然，价格纷纷上行，不过后来发现银行并不领情，于是又回落并于全天走出了横盘。

债市和股市的双重表现，其实反映了机构和散户的心态。散户要重新配置资产，反映为抛股票拿到人民币后购外汇的操作，而抛股票当然就导致股价的下跌。稳住人民币在资金面上对股市没有什么立刻的直接的帮助，因为配置需求本身未必是要赚一笔，分散化本身就是目的。分散配置的操作不止，抛股票不止，股市就还要跌。国家队救市，只是国家把自己的人民币通过买股票给散户，方便散户购汇给央行压力罢了。

但对于债市而言，我们并没有看到大量机构抛债购汇，反而看到债券收益率在多日上行之后有所回落，这说明银行保险债基等机构还并不特别慌张，或者说不敢乱动。这也反映了在岸和离岸市场央行的角色不同。在离岸市场，央行是众多玩家中的一个，只不过比较大而已。而在在岸市场，央行不但是玩家还是裁判员，可以随时停掉银行的外汇业务。所以离岸主体是和央行打对手牌，在岸主体是陪着央行打牌。

此外还有横跨在岸离岸的套利者。现在的套利者已经非常厉害，表现是离岸人民币的拆借利率开始下行。7天CNH HIBOR从十月底一直攀升，从3.5%跑到了12月23日的6.3%，现在已经开始回落到5.15%。同时，从12月下旬以来，离岸人民币有几天在6.54附近稳住，然后又突然发力上升至目前的6.7。

央行离岸人民币干预，在卖出美元的时候同时收回人民币。如果对手是离岸银行，那么离岸银行资产侧的人民币被收回。如果对手是离岸非银行机构，那么离岸银行资产和负债侧的人民币同时收回，最后的结果是离岸人民币池子的干涸以及人民币拆借利率的升高。但现在，令人惊讶的是，离岸人民币拆借利率不升反降，并且离岸人民币不停的跌。

这说明，和一般的干预情况下人民币越来越少，做空者没有人民币可卖也就无法打压人民币不同，现实的情况乃是做空者的人民币源源不绝，人民币被不停卖出，汇率自然是贬值。这说明套利者不停地因为离岸的高利率而把人民币挪到境外。央行一边抽人民币，套利者一边放人民币，离岸做空者不停地把人民币卖给央行，离岸人民币池子水位依然高涨。

11月的跨境汇款数据也说明了这一点，人民币净流出1204亿人民币，而外币则净流出1585亿，相比之下人民币的流出规模非常大。这部分人民币流出可能是银行的跨境拆借，也可能是RQDII的和贸易驱动。两者导致银行资产和负债侧的人民币都增加，而离岸银行资产侧有了人民币，就可以卖掉人民币，或者借给其他机构卖掉人民币，而卖人民币就是使人民币贬值。离岸非银行主体收到人民币后的卖出，也会给人民币造成贬值压力。

央行当然可以选择关掉人民币跨境汇款，但这意味着人民币国际化的巨大倒退。央行当然更可以选择关掉5万美元结售汇上限等，但这当然是更大的倒退，而且在对外交往如此频繁的今天，上述政策调整将对实体经济造成实质负面影响。但也正因为如此，央行才有了投鼠忌器之顾忌，无法一举把离岸人民币市场打回十年前的NDF市场，更不敢把好不容易进了SDR的人民币打回不可兑换货币。

而对于离岸人民币空头，一般来说搞定他们的办法是把带杠杆的空头打爆仓，剩下一群胆子比较小的留下跟着央行跑。但如果空头很清楚央行会干预，总是在央行干预前跑掉，或者轻仓让央行打不死自己，承担一下浮亏转眼又变成浮赢，那么央行的干预只是把美元吐出去，把人民币吸进来，结果发现离岸又从别的渠道弄来了人民币接着卖，如前文所提般循环往复，那么干预的效果就很有限。

离岸人民币之于人民币市场，如同希腊之于欧元区。欧洲央行可以轻松把希腊政府所有债券买断，收益率想是多少就是多少。但欧洲央行不这样做，市场把希腊2年期国债收益率打到20%以上，造成的影响不只是希腊一国，而是影响欧洲各国乃至欧元区的稳定。同样，人行也面临了欧央行的希腊困境，即境外把离岸人民币往高打到6.75甚至7，但不能有效地收回离岸人民币并且切断离岸人民币来源，于是离岸就可以通过价格波动给在岸造成压力，特别是心理上的压力。

比起离岸投机者和跨境套利者，而更重要的则是在岸的配置需求。过去人民币波动不够猛烈，市场对于人民币跌势反映不积极。人民币从6.1不是没跌到过6.2，但和现在从11月初的6.3一路跑到现在的6.6相比，当时的跌势可算是非常温和了。当在岸的购汇需求被激发出来，新的额度又使得大家有能力购汇，这部分对人民币的压力则是巨大的。

而对于这部分人，他们都是无杠杆持有外汇，央行干预创造的小小波动对于他们而言没有任何压力，而每次央行干预造成的波动反而成了他们的购汇良机。不过相对而言，在岸居民的购汇面对在岸的人民币市场，而在岸人民币市场的机构还是听央行招呼的，汇价跟着中间价跑。能跟着跑，意味着在岸外汇市场参与主体还是比较从容的。而被迫还债下的购汇可不给银行跟着央行跑的从容，而必定表现为争相破门出逃。

除了能跨境汇款的部分主体外，剩下的购汇后放在境内银行趴着的主体，对央行并不构成直接威胁。这里面的变化量，乃是银行资产侧的外币资产和负债侧的外币存款的比例，即外汇准备金率。银行如果知道客户不会汇出，或者说汇出时银行可以找央行换到外币满足汇出需求，那么银行完全可以承担一个很低的外汇准备金比例，而央行则是银行的外汇最终提供人或者贷款人，银行的购汇需求转为准备金比例的伸缩空间，银行在汇率价格上当然就有了从容。

现在人民币面临以下局面：一部分横跨在岸离岸的投机者把在岸人民币弄到境外，使得境外银行可以卖人民币使人民币贬值；一部分能够汇款出境的市场主体不停地购汇并且汇出，使得境内银行也不得不卖掉人民币找央行购汇；一些原先有外币负债的主体需要还债或者改变债务的币种结构，这个过程可能也包含了购汇和汇出外汇的操作；一些主体想要增加外币资产配置但无处境外转移的市场主体会购汇在境内银行持有。

而搞清了上述四类迫使人民币贬值的主力，我们也可以想想什么时候人民币可能企稳。显然，企稳的过程将体现为四类人卖人民币的动作减少，而另外一些买人民币的人的动作增加。外币负债的置换还在进行当中，但应该不会比8-9月份的时候猛烈。在岸离岸的汇价差以及利息差都不小，套利者还会继续活跃一阵。汇出者和境内购汇者的操作短期还不会停止。四类人总体上风头还很劲。

买人民币的人的动作增加表现为结汇增加，而这体现为外汇流入的增加和结汇意愿的增加。从这个角度讲，股市大跌，股票资产会迅速从没有配置价值变得有配置价值，想购汇但还没购汇的人会被股市的潜在收益率吸引。除此之外还有利率水平。《新年新气象：黑云压城，熔断为兆》猜测央行可能有一个新想法，即维持目前的利率水平不再降低，以出清过剩产能。不再走低的利率，也会吸引想购汇但还没购汇的人投向人民币固定收益产品。除了预期收益之外，实体经济的出口也有可能受贬值影响而有所改善，但出口还有一些竞争力的问题。此外，5%幅度的贬值能解决的问题恐怕有限：欧元从14年的1.4贬值到现在的1.1，幅度高达20%。

中国货币网特约评论员的两篇评论，体现了央行从价格和数量两个方面的意图。在价格方面，央行打算顺应一揽子货币对美元贬值的情况，维持人民币对一揽子货币的稳定。不过在汇率方面，欧元兑美元12月以来一直在横盘，日元兑美元则是剧烈升值，下跌比较剧烈的是澳元、英镑、加元、卢布等，因此人民币其实对于美元日元也都在跌，人民币相对“稳定”的篮子组成似乎并不十分清晰，央行仍然有比较大的调整空间。

而在数量方面，央行称有能力打击投机势力，意味着在微观上央行可能会继续出台一些阻碍措施，不再限于通过抛美元进行干预。本文前面也提到，现在央行在离岸面临了对手人民币来源充足的挑战，抛美元的效果有限，相对来说还是精准打击，从数量上切断人民币流出的渠道，更为有效。

人行可能还会调整一阵中间价，让市场熟悉高波动的情况，让迷迷糊糊不懂汇率风险为何物的企业都清醒起来，让大大咧咧不把汇率风险当回事的企业都警惕起来，并且释放一些贬值压力，让出口企业压力小些，然后重新进入观察模式，只要在岸汇价跟着中间价跑就行。如果联储那边如果又有些放慢加息脚步的信号，人民币贬值的压力就能再轻一些。

If we say that last year's August exchange rate reform by the central bank caused great anxiety for those who had used up their forex quotas in the first half of the year, then the new quotas for the new year have ignited everyone's enthusiasm for forex purchases. The demands for diversified asset allocation and speculative bearish bets on the RMB have all been expressed through concrete actions. Apart from the new quotas for buying and selling forex, we have also witnessed a central bank with new strategies, as if the central bank has carried out another round of exchange rate reform at the beginning of the new year.

On Monday, January 4th, the RMB closed at 6.53, but on Tuesday, the central bank set the midpoint at 6.5169, causing the onshore price to immediately hover around 6.52. Then, on Wednesday, the central bank set the midpoint at 6.5314, and the market quickly went up to 6.5550. And today, Thursday, the central bank directly set the midpoint at 6.5646, causing panic in the market, pushing the rate up to 6.59. The fragile stock market couldn't handle the central bank's moves and triggered a circuit breaker. The bond market, on the other hand, felt unexpectedly fortunate as prices surged initially, but later found that banks weren't accommodating, leading to a retreat and a sideways movement throughout the day.

The dual performance of the bond and stock markets actually reflects the attitudes of institutions and retail investors. Retail investors, needing to reallocate their assets, reflected this by selling stocks and purchasing forex after converting their RMB holdings, thereby causing stock prices to decline. Stabilizing the RMB doesn't offer immediate and direct assistance to the stock market in terms of liquidity, as the goal of diversification isn't necessarily about making a profit; diversification itself is the objective. With continuous diversification and stock sell-offs, the stock market will keep falling. The national team's intervention in the stock market is merely the government providing RMB to retail investors through stock purchases, aimed at relieving pressure on the central bank from forex purchases.

However, for the bond market, we haven't seen a significant sell-off of bonds by institutions to purchase forex. Instead, we've observed bond yields slightly retracting after several days of increases. This indicates that institutions like banks and insurance companies are not particularly panicked or hesitant to act. This also reflects the differing roles of the central bank in onshore and offshore markets. In the offshore market, the central bank is just one of the many players, albeit a large one. In the onshore market, the central bank is not only a player but also an umpire, capable of halting banks' forex transactions at any time. Offshore entities play against the central bank, while onshore entities play alongside it.

Additionally, there are arbitrageurs spanning both onshore and offshore markets. These arbitrageurs have become quite adept, as evident from the decreasing offshore RMB lending rates. The 7-day CNH HIBOR climbed steadily from the end of October, going from 3.5% to 6.3% on December 23rd, and it has now dropped to 5.15%. Meanwhile, since late December, the offshore RMB stabilized around 6.54 for a few days, then suddenly surged to the current 6.7.

The central bank's offshore RMB intervention involves selling USD and simultaneously reclaiming RMB. If the counterparty is an offshore bank, the RMB on the bank's asset side is reclaimed. If the counterparty is a non-bank offshore entity, both the RMB assets and liabilities on the bank's balance sheet are reclaimed, resulting in the drying up of the offshore RMB pool and an increase in RMB lending rates. However, surprisingly, the offshore RMB lending rates haven't risen but rather fallen, and the offshore RMB continues to depreciate.

This indicates that, unlike typical intervention scenarios where the supply of RMB decreases over time, and short-sellers eventually run out of RMB to sell and suppress the RMB, the current situation involves an unending supply of RMB for short-sellers. The RMB is continuously sold, leading to its devaluation. This suggests that arbitrageurs are constantly moving RMB offshore due to the higher offshore RMB interest rates. The central bank takes out RMB as short-sellers put in RMB, while the offshore RMB pool remains abundant.

The cross-border remittance data for November also illustrates this point: there was a net outflow of 120.4 billion RMB for RMB and 158.5 billion for foreign currency. In comparison, the outflow of RMB was significantly larger. This outflow of RMB might be due to cross-border lending by banks or RQDII and trade-driven activities. Both of these lead to an increase in RMB assets and liabilities on banks' balance sheets, and when banks have RMB on their asset side, they can sell it or lend it to other institutions, thus leading to RMB depreciation. The selling of RMB by non-bank entities upon receiving RMB will also exert depreciation pressure on the RMB.

The central bank could certainly choose to close down cross-border RMB remittances, but this would signify a significant setback for RMB internationalization. The central bank could also choose to impose tighter restrictions, such as lowering the $50,000 USD exchange quota, but this would be an even larger step back and, given the frequency of international interactions today, such policy adjustments would have substantial negative impacts on the real economy. However, it's precisely because of these factors that the central bank is cautious and unable to revert the offshore RMB market to the state it was in a decade ago or make the hardly achieved SDR-included RMB non-convertible again.

As for the offshore RMB short-sellers, generally, the way to deal with them is to liquidate the leveraged short positions and leave a group of risk-averse ones to follow the central bank. But if the short-sellers are well aware of the central bank's interventions and always exit before the central bank acts, or if they hold light positions that the central bank can't eliminate, taking temporary losses that quickly turn into gains, then the central bank's intervention becomes a process of throwing out USD and drawing in RMB. Yet, the offshore RMB sellers find ways to bring in RMB through other channels, leading to a cycle of repetitive actions, making the intervention's impact limited.

Offshore RMB in the RMB market is akin to Greece in the Eurozone. The European Central Bank (ECB) could easily buy out all of Greece's government bonds and set whatever yield it desires. But the ECB didn't do that; the market pushed the 2-year Greek bond yield to over 20%, causing not only Greece but also destabilizing the entire Eurozone. Similarly, the People's Bank of China faces a similar dilemma with offshore RMB. Even if the central bank pushes offshore RMB to 6.75 or even 7 against the USD, it won't effectively retrieve offshore RMB and sever the sources of offshore RMB. Thus, the offshore market can exert pressure on the onshore market through price fluctuations, especially psychological pressure.

Compared to offshore speculators and cross-border arbitrageurs, the more critical factor is the onshore allocation demand. In the past, RMB fluctuations were not as intense, and the market didn't respond actively to RMB depreciation. The RMB didn't just depreciate from 6.1 to 6.2, but compared to the continuous climb from 6.3 in early November to the current 6.6, the depreciation then can be considered quite mild. When onshore forex purchase demand is ignited and the new quotas enable everyone to afford forex, the pressure on the RMB from this side becomes enormous.

For this group, they hold forex without leverage, so the small fluctuations caused by central bank intervention don't stress them, and every intervention-induced fluctuation becomes an opportunity for them to buy forex. However, relatively speaking, institutions in the onshore forex market follow the central bank's lead; the exchange rate runs with the central bank's midpoint. Being able to follow indicates that onshore forex market participants are relatively composed. However, entities that are compelled to repay debt and purchase forex won't be as composed; they would rather rush to escape the pressure.

Apart from entities that can make cross-border remittances, the remaining entities that purchase forex and park it in domestic banks don't pose a direct threat to the central bank. The change here is in the proportion of foreign currency assets on the bank's asset side and foreign currency deposits on the bank's liability side, which is the foreign exchange reserve ratio. If banks know that customers won't remit or that banks can obtain foreign currency from the central bank to satisfy remittance needs, then banks can maintain a low foreign exchange reserve ratio. The central bank, in turn, provides the banks with the necessary foreign currency, and the banks' forex purchase demand transforms into the flexibility of the reserve ratio. With a stable reserve ratio, banks can remain composed regarding forex pricing.

The RMB is currently facing a situation where: a portion of speculators crossing onshore and offshore markets takes onshore RMB offshore, allowing offshore banks to sell RMB and cause its depreciation; market participants able to remit money abroad continue to purchase and remit forex, forcing onshore banks to sell RMB and purchase forex from the central bank; entities with pre-existing foreign currency liabilities need to repay debt or change the currency structure of their debt, involving forex purchase and remittance operations; and some entities want to increase their foreign currency asset allocation but can't transfer them offshore, causing them to purchase forex and hold it in domestic banks.

Understanding these four main forces pressuring the RMB, we can speculate on when the RMB might stabilize. Clearly, the stabilization process will manifest as a decrease in the forex selling actions of these four groups and an increase in the forex buying actions of other groups. The replacement of foreign currency liabilities is ongoing but probably won't be as vigorous as in August and September. The exchange rate and interest rate spreads between onshore and offshore markets are substantial, so arbitrageurs will remain active for some time. The remitters and onshore forex purchasers won't cease their operations in the short term. Overall, these four groups are still exerting considerable influence.

The increase in forex buying actions will be reflected in higher trade settlement and forex acquisition intentions. In this regard, the significant drop in the stock market will quickly turn stock assets from being without allocation value to having allocation value. Those considering forex purchase but haven't done so will be attracted by the potential returns in the stock market. In addition to the expected returns, the level of interest rates is also significant. The commentary "A New Year, a New Atmosphere: Dark Clouds Overhead, Circuit Breakers as Omens" speculates that the central bank may have a new idea, possibly maintaining the current interest rate level and not reducing it further, to eliminate overcapacity. The stable interest rates will also attract those who want to purchase forex but haven't yet, into RMB-denominated fixed-income products. Aside from the potential returns, the improvement in the export sector due to RMB depreciation might also be beneficial, although there are also issues with competitiveness in exports. Additionally, a 5% depreciation might only solve limited problems; the Euro has depreciated by 20%, from 1.4 to 1.1 against the USD from 2014.

China Money Network's special commentator provides two comments that reflect the central bank's intentions from both a pricing and quantity perspective. From a pricing perspective, the central bank aims to follow the situation of a basket of currencies against the USD, maintaining RMB's stability against this basket. However, in terms of the exchange rate, the EUR/USD has been trading sideways since December, while the USD/JPY has appreciated significantly. Other currencies, like the AUD, GBP, CAD, and RUB, have fallen more significantly. Thus, the RMB's composition in the "stable" basket against the USD doesn't seem entirely clear, and the central bank still has significant room for adjustment.

From a quantity perspective, the central bank claims to have the ability to counteract speculative forces. This suggests that at the micro-level, the central bank might continue implementing measures to obstruct activities, not limited to USD selling. As mentioned earlier, the central bank is facing a challenge of abundant sources of offshore RMB for counterparty short-sellers; thus, the effectiveness of selling USD is limited. The central bank might opt for more precise actions to cut off the channels for RMB outflows, which would be more effective.

The central bank may also adjust the midpoint for a while, making the market familiar with high volatility, arousing awareness among companies that were previously oblivious to exchange rate risk, and prompting companies that hadn't taken exchange rate risk seriously to be vigilant. The central bank might also release some depreciation pressure, easing the burden on export-oriented companies. Then, it would return to an observation mode, simply following the midpoint as the exchange rate runs with it. If there are signals of the Fed slowing down its pace of interest rate hikes, the pressure for RMB depreciation might ease further.