原创 2016-01-16 季天鹤央行观察

从2015年5月开始，从人民币汇率的价格层面、数量层面与市场层面，探索人民币外汇市场的分析框架。5月的《央观独家┃ 资本外流如何重创中国？》讨论了人民币和外币对外汇出时，境内银行人民币和外币准备金体系如何变化。8月份《跨境流动的“资金”到底是什么？》和9月份《如何辨析“藏汇于民”与“资本外逃”？》则从清算和会计分录的层次分析了中国外汇市场的结构。

除了上面的理论分析外，811汇改前的7月份《人民币国际化的暂时受阻》指出人行应该稳定汇率，否则人民币国际化将告一段落。10月份的《811汇改：对手到底是谁？》和《央行是至尊宝还是孙悟空？》指出人行在离岸干预必胜，但会以人民币离岸市场和人民币国际化为代价的观点。而近期的《维持人民币汇率基本稳定为什么有希望？》，则强调人行有能力维持人民币汇率基本稳定。

两位人行人士撰写的《信用创造、货币供求与经济结构》一书是非常重要的起点。外汇市场不是股票市场。股票市场是一群人持有股票，一群人持有钱，双方有买有卖，但外汇市场则复杂得多，伴随着贷款还款以及汇款导致的银行资产负债同增同减，以及银行创造存款和准备金率下降当中的杠杆结构。

人行此次在离岸的操作，完全是按照《信用创造、货币供求与经济结构》里面提到的离岸人民币市场结构在进行。如果经历了2013年钱荒的研究员和交易员们，还记得6月18日人行那火上浇油的20亿央行票据的话，那么2016年1月离岸市场央行的抛出美元收回离岸人民币的操作，就和那20亿央行票据对流动性的影响完全一样。

除了照章出牌外，人行还吸取了8月份的教训和之后市场干预方面的经验，先后发动心理战（对“投机势力”喊话、媒体力劝储户不要盲目购汇）、行政战（暂停银行业务）、资金战（叫停对外拆借，回收人民币流动性）、外交战（第二批境外央行类机构入市）、宣传战（钉住货币篮子）等，多角度全面进击，和811后用发布会安抚市场相比，大有进阶。

即使市场上很多人惊慌，但也有很多人不惊慌。外汇市场只要不用杠杆，波动率还是很微弱的，简单粗暴的购汇，最后能赚到的钱其实很少，反而是银行先猛赚个手续费。持有外汇的机会成本是人民币产品的收益率，如果没有真实的需要，持有美元对于市场主体来说，教育和探索的价值大于实际的赚钱。

何况对于很多像作者一样，经常关注非美元货币对人民币比价的人而言，人民币对这些货币的波动一直都很大。人民币兑美元一点点的下跌，根本弥补不了英镑近期兑美元的跳水。美元人民币汇率的波动，并没有什么可大惊小怪，想投机一下就尽管投机一下，完全不需要夺路而逃。对股民而言，股市熔断亏掉的钱比人民币贬值多多了。

市场虽安，忘战必危

这一轮对人民币空头的阻击，让全中国看到，在真正的外汇干预中，消耗的只有外汇储备，而其他如中投等各种主权投资主体，并不能对汇率提供任何支撑。这当然不怪这些主权投资主体，因为他们并没有稳定汇率的责任，因此也没有留下足够的外汇存款或高流动性资产，而是持有低流动性的股权投资等。

但我们还记得外汇储备将要达到4万亿美元的时候，大批文章出来研究如何管好用好外汇储备，提出设立类似中投的市场主体，或者对中投注资，在其下设几个相对独立、定位不同的机构等。匪夷所思的是，现在外汇储备还有3.3万亿美元，市场又大喊外汇储备不真实，仿佛4万亿美元的时候，外汇储备真实得可以分给这个那个，但现在一下子就全不真实了。

如果外汇储备真的注资了中投，现在外汇储备必然早就不及3万亿美元，人们肯定更为惊慌，挤兑外汇更为疯狂，5万美元额度定难守住。既想要汇率稳定，给市场主体创造适应波动的时间，又想把储备分出去用来股权投资换取高收益，恐怕是不太容易完成的任务。储备下降了又说不足，那又何必当初冲动地喊着分呢？

上述冲动瓜分储备的观点，大概出于三个原因：眼光不够长远，不能看到经济周期的变化，中国前些年对矿产公司的投资，如今亏得一塌糊涂，也是这一原因；眼光不够深入，看不到金融市场到底在玩什么游戏；眼光不够务实，看不到理论与实际、实体经济与货币之间存在的巨大差异。

在人们广泛忽视经济周期的情况下，真的用外汇储备购买很多矿产企业，则现在的浮亏或者真亏的规模肯定更为巨大。事实上，金融世界的规则，就是有些人不停赚钱但是一朝亏光，而另一些人则是静待机会大捞一笔，甚至嘴上吹大泡沫，手上伺机捅破，挣前者带血的钱。不了解自己其实是在推土机前捡钱的投资者，必定会被推土机碾压致残致死。

在汇率波动逐渐扩大，人民币资本项目逐渐放松的过程中，中国必须持有一部分低收益高流动资产来应对风险。那些死盯着国际收支平衡表上投资收益项目逆差的人们，除了暴露了自己在理论上不了解国际收支平衡表是现金流表之外，还暴露了他们并不了解金融市场赚钱的模式。巴菲特拿着那么多现金，难道是在浪费机会？难道是在错过高收益？都应该去炒波段搞PE？还要什么偿二代和巴三代？

如果用期权的视角来看人民银行，那么在投资的角度上，人民银行放弃了可能的高收益，而这种放弃乃是用来购买了“流动”的期权，而在流动性危机到来的时候，人民银行行权，意味着可以低价收购大批错杀资产，而在流动性恢复中一夜赚疯。而从稳定人民币汇率的角度看，人民银行乃是一个保险公司，卖出了维稳这种保险单，那么这个保险公司就要有足够的流动性和偿付率，而不能光追求收益。

市场虽安，忘战必危。只要人民币的汇率客观上还不能自由波动，只要人民币市场主体主观上还不能适应汇率的波动，那么外汇储备就必将如周行长所言，是一个储水池，在下雨的时候存水，在干旱的时候放水。之前在它储水的时候，大家纷纷指责他储水过多，还纷纷想去拿一些灌到自家游泳池里用来游泳。现在它放水，大家又担心会很快没水喝。短视的心态化作短视的行动，必将导致真正的危机。

央行虽大，好战必亡

“天下虽安，忘战必危”的前一句，乃是“国虽大，好战必亡”，这一句被习总多次引用，非常直接，非常警醒，振聋发聩，让人不禁反复诵读，浮想联翩。战国时期的智慧，也适用人民银行。人行在在岸自然是全无敌，在离岸的小市场也是巨无霸。1.5万亿人民币的离岸资金池，对人行不过是一小杯鸡汤而已，说干就干。但美元是人行资产，而不像对联储而言是可以无限创造的负债。尽管外汇储备规模庞大，但毕竟是有限的，并且和人民币130万亿存款存量相比，在目前的汇率水平上毕竟不可能满足所有人的提款需求。而动辄干预大打出手，尽管对于人民币空头是一种威胁，但如果反而是点心债投资者们被清出了市场，那么人民币资产的魅力，又在哪里？

当然，人民币国际化乃人行所欲也，汇率市场化亦人行所欲也，当这两者暂时冲突的时候，汇率市场化更为基础，更为长远。好的市场机制和市场主体，是人民币国际化的基石之一，暂时放弃人民币国际化的短期进展，换取利率市场化的大利，以及人民币国际化的长期发展，是可以理解的。

除了人民币国际化短期受挫外，丝路基金、亚投行、中拉基金、金砖银行、委托贷款等等，都是外汇储备未来需要支持的项目。尽管具体的出资时间和规模总是有弹性可调整的，但前景毕竟是确定的，在未来几年是确定要做的。如果又要应对储户对外转帐，又要缩小离岸在岸价差，自己还要应对上面的项目，战线是不是有点过长过多？

目前看来，人行自己大概也很清楚这一情况。现在市场已经经历了0.5%-1%级别的市场波动，不少市场主体已经开始动起来寻找办法，从储户到企业都开始意识到了人民币汇率的问题，特别是长期只会和美元人民币打交道的市场主体，更是如此。而现在离岸在岸价差已经重新收敛，乃是让离岸和在岸连着动起来的好机会。

人民币日间浮动区间还有2%，可以有1300点的浮动范围，央行可以做到中间价盯住一个篮子，而在日间让市场自由在浮动范围内波动。前者表达了央行的政策目标和信号（打消恐慌、维持基本稳定），后者则给市场波动留下空间（适应波动，保证离岸在岸较窄的价差抑制套利）。

具体而言，在岸价格和中间价的差距，已经不像811之后那样紧缩在几十个基点，而是扩大到200基点左右。目前日间波动也早已大于去年7月份的水平，而日间波动乃是关键。即使在岸价和中间价会有差距，但差距大但市场在动，与差距大到市场不敢动相比，还是有本质不同的。市场不敢动，要浮动区间何用？而差距大，恰恰说明2%的浮动区间比0.2%合理。

如果央行自己只是做收缩价差的推手，赚取套利利润，但不影响价格水平的话，就可以形成央行赚钱，在岸离岸汇率联动，并且在浮动范围内波动的效果。不过考虑到央行大概并不专于套利交易，无法和专业外汇套利商们媲美，所以央行套利大概需要比较大的价差才行，过程也可能会暴力一些。如果能让利给境内银行，则对利润下滑的银行们来说，也算是一点利好。银行手上的外汇目前也不少，收掉离岸人民币也是分分钟的事情，此外在岸银行好歹也是离岸人民币的央行，也可以掐一掐拆借。

套利者靠边了，剩下储户们。购汇存在境内的就让银行的外汇存款准备金去应付，大额购汇要汇出的就加强检查，掺沙子控制下速度，等待市场自己的心态和资金流自行调整，储备得以节省，市场也学习到了经验。等波动率逐渐起来之后，再扩大波动区间。当上下限到5%的时候，人民币的浮动就非常自如了，人民币国际化也比必将重新扬帆起航。

Starting from May 2015, from the perspectives of exchange rate pricing, quantity, and market, an analytical framework for exploring the RMB foreign exchange market was established. The May article "Exclusive from the Central Observer | How Did Capital Outflows Devastate China?" discussed how the domestic bank RMB and foreign currency reserve systems changed when the RMB and foreign currencies were exchanged. The articles from August, "What Exactly is the 'Capital' in Cross-Border Flows?" and September, "Distinguishing Between 'Hiding Foreign Exchange Among the People' and 'Capital Flight'," analyzed the structure of China's foreign exchange market from the levels of clearing and accounting entries.

Apart from the theoretical analyses mentioned above, the July article before the 811 exchange rate reform, "Temporary Obstruction to RMB Internationalization," pointed out that the central bank should stabilize the exchange rate; otherwise, the internationalization of the RMB would come to a halt. The October articles, "811 Exchange Rate Reform: Who's the Opponent?" and "Is the Central Bank Supreme Being or Monkey King?", indicated that the central bank's offshore intervention would succeed, but at the cost of the RMB offshore market and internationalization of the RMB. In recent times, the article "Why is There Hope in Maintaining Basic Stability of the RMB Exchange Rate?" emphasized the central bank's ability to maintain the basic stability of the RMB exchange rate.

The book "Credit Creation, Money Supply and Economic Structure," authored by two officials from the central bank, serves as a significant starting point. The foreign exchange market is not like the stock market. In the stock market, there are buyers and sellers, with a group holding stocks and another holding money. But the foreign exchange market is much more complex, involving changes in bank assets and liabilities due to loan repayments and remittances, as well as the leverage structure within the decline of deposit creation and reserve ratio.

The central bank's offshore operations are entirely in line with the offshore RMB market structure mentioned in "Credit Creation, Money Supply and Economic Structure." If researchers and traders who experienced the money shortage in 2013 remember the 20 billion yuan central bank bills poured into the market on June 18, then the central bank's operation in January 2016 to buy back offshore RMB with U.S. dollars is entirely similar in its impact on liquidity to that 20 billion yuan central bank bill.

In addition to playing by the book, the central bank has also drawn lessons from the experience of August and subsequent market interventions. They have launched psychological warfare (addressing "speculative forces" and advising depositors not to buy foreign exchange blindly), administrative warfare (suspending banking operations), financial warfare (halting external borrowing, withdrawing RMB liquidity), diplomatic warfare (allowing the entry of overseas central bank-like institutions into the market), and propaganda warfare (pegging the currency basket) from multiple angles, presenting a comprehensive strategy. Compared to market pacification after 811 through press conferences, this approach appears to be more advanced.

Even though many in the market are panicking, there are also many who aren't. As long as leverage is not employed in the foreign exchange market, volatility remains low. Bluntly buying foreign exchange doesn't lead to significant profits; instead, banks profit more from transaction fees. The opportunity cost of holding foreign exchange is the yield of RMB products. If there's no real need, holding U.S. dollars offers more educational and exploratory value for market participants, which surpasses actual profits.

Furthermore, for those who, like the author, frequently focus on non-dollar currency pairs against the RMB, the volatility of the RMB against these currencies has always been substantial. A slight drop in the RMB-USD exchange rate doesn't compare to the recent plunge in the GBP-USD rate. The fluctuation of the USD-RMB exchange rate is nothing to be overly alarmed about; speculation can take place without a need to panic and flee. For stock investors, the losses from stock market crashes are much greater than the depreciation of the RMB.

Though the market is calm, forgetting about the possibility of conflict invites danger.

This round of attacks on the RMB shorts has shown China that genuine foreign exchange intervention only consumes foreign exchange reserves. Other entities such as CIC don't provide any support for the exchange rate. This isn't to blame these sovereign investment entities; they lack the responsibility to stabilize the exchange rate and thus haven't retained sufficient foreign exchange deposits or highly liquid assets. Instead, they hold illiquid equity investments.

But we still remember that when foreign exchange reserves were about to reach $4 trillion, numerous articles emerged discussing how to manage and utilize them effectively. They proposed establishing market entities similar to CIC or injecting funds into CIC, creating several relatively independent and differently positioned institutions under it, and more. It's astonishing that with foreign exchange reserves still at $3.3 trillion, the market is now claiming that these reserves are no longer real. It's as if when reserves were $4 trillion, they were considered distributable, but suddenly they are deemed unreal.

If foreign exchange reserves had truly been invested in CIC, the reserves would likely be less than $3 trillion now, which would have caused even more panic and a crazier run on foreign exchange. The attempt to stabilize the exchange rate while creating time for the market to adjust to fluctuations, combined with using reserves to invest in equity for higher returns, would be a difficult task to accomplish. If reserves decrease and it's deemed insufficient, then why did we impulsively advocate for distribution in the first place?

The aforementioned impulse to divide reserves probably arises from three reasons: a lack of long-term vision that fails to see changes in economic cycles, the failure to deeply understand what's happening in financial markets, and a lack of practical insight that fails to recognize the vast differences between theory and reality, and between the real economy and currency.

In the current environment where economic cycles are widely overlooked, purchasing numerous mining companies with foreign exchange reserves would likely lead to even larger floating or real losses than before. In fact, the rule of the financial world is that some people keep making money until they lose it all in a moment, while others wait for a chance to reap a big profit. Some even blow up bubbles with their mouths and puncture them when the time is right, profiting from the former's blood-stained money. Investors who don't understand that they're picking up money in front of a bulldozer will inevitably be crushed and maimed.

Amidst the gradual expansion of exchange rate fluctuations and the relaxation of China's capital account, the country must hold a portion of low-yield, highly liquid assets to manage risks. Those who obsess over the deficit in the investment income item of the international balance sheet reveal their lack of understanding – not only of the fact that the international balance sheet is actually a cash flow statement, but also of how the financial market makes money. Is Buffett wasting opportunities by holding so much cash? Is he missing high returns? Should he engage in speculative trading and private equity deals? What about the second-generation and third-generation succession issues?

If we view the central bank from the perspective of options, then in terms of investment, the central bank has sacrificed potential high returns to buy the "liquid" option. When a liquidity crisis arrives, the central bank exercises its option, meaning it can acquire a large number of mispriced assets at a low cost. When liquidity returns, it can make a huge profit overnight. From the perspective of stabilizing the RMB exchange rate, the central bank is an insurance company that sells the insurance policy of stability. Thus, this insurance company must have sufficient liquidity and solvency, rather than focusing solely on profits.

While the market is calm, forgetting about the possibility of conflict invites danger. As long as the RMB exchange rate cannot objectively fluctuate freely and as long as market participants cannot subjectively adapt to exchange rate fluctuations, the foreign exchange reserves will be, as Zhou Xiaochuan said, a reservoir. It stores water when it rains and releases water during droughts. When it stored water, people criticized it for storing too much and even wanted to take some for their own swimming pools. Now that it's releasing water, people worry about it running out quickly. A short-sighted mindset leads to short-sighted actions, inevitably resulting in a real crisis.

Although the central bank is large, it will perish if it pursues conflict relentlessly.

The previous line, "Although the state is large, it will perish if it pursues conflict relentlessly," is quoted by Xi Jinping several times. It's very direct, highly cautionary, and thought-provoking. During the Warring States period, this wisdom applies to the central bank as well. The central bank is an invincible force in the onshore market and a behemoth in the offshore small market. With a 1.5 trillion RMB offshore fund, the central bank's influence is limited; it can proceed at will. But while the central bank's assets are in U.S. dollars, they aren't an unlimited liability like they are for the Federal Reserve. Despite the huge scale of foreign exchange reserves, they are finite, and in comparison to the 130 trillion RMB in deposits, they can't satisfy everyone's withdrawal demands at the current exchange rate. While frequent intervention might threaten RMB shorts, if bond investors are expelled from the market, the appeal of RMB assets would be diminished.

Of course, RMB internationalization is what the central bank desires, and exchange rate marketization is also its aspiration. When these two goals conflict temporarily, exchange rate marketization is more fundamental and long-term. Sound market mechanisms and market participants are the cornerstones of RMB internationalization; temporarily giving up short-term progress in internationalizing the RMB in exchange for interest rate marketization gains and long-term RMB internationalization is understandable.

Apart from the temporary setback in RMB internationalization, projects like the Silk Road Fund, Asian Infrastructure Investment Bank, China-Latin America Cooperation Fund, New Development Bank, entrusted loans, and more are all projects that the future foreign exchange reserves must support. While specific contribution timing and scale can be adjusted elastically, the outlook is certain; these are endeavors for the next few years. If the central bank has to manage outward remittances by depositors and narrow the onshore-offshore spread, while dealing with these projects, isn't the front line a bit too long and demanding?

Currently, it seems the central bank is quite aware of this situation. The market has already experienced 0.5%-1% level market fluctuations, and many market participants have begun to take action, from depositors to enterprises, to address the RMB exchange rate issue. This is especially true for market participants that only deal with the RMB-USD pair in the long run. The onshore-offshore spread has re-converged, providing a good opportunity for the onshore and offshore markets to move together.

The RMB's daytime floating range is still 2%, with a floating range of 1,300 basis points, allowing the central bank to peg the midpoint to a currency basket and letting the market fluctuate freely within the range. The former conveys the central bank's policy goals and signals (dispelling panic, maintaining basic stability), while the latter provides room for market fluctuations (adapting to fluctuations, suppressing arbitrage by maintaining a narrow spread between onshore and offshore rates).

Specifically, the gap between onshore prices and the midpoint hasn't compressed to just a few dozen basis points as it did after 811; it has expanded to around 200 basis points. Daytime fluctuations have already exceeded the levels of July last year, and daytime fluctuations are crucial. While there may be a difference between onshore prices and the midpoint, a larger difference indicates market movement, which differs fundamentally from a situation where the difference is so large that the market is reluctant to move. If the market isn't moving, what's the use of a floating range? A large difference implies that a 2% floating range is reasonable compared to a 0.2% range.

If the central bank only serves as a catalyst for narrowing the spread and earning arbitrage profits without affecting price levels, it can establish a linkage between onshore and offshore exchange rates, allowing the market to fluctuate within the floating range. However, considering the central bank isn't specialized in arbitrage trading and can't compete with professional foreign exchange arbitrage traders, a larger spread would likely be needed for central bank arbitrage, and the process could be more aggressive. If the benefits can be passed on to domestic banks, it could also provide a slight positive for banks experiencing declining profits. Banks currently hold a fair amount of foreign exchange, and disposing of offshore RMB is also a straightforward process. Moreover, onshore banks are essentially the central bank for offshore RMB and can also control external borrowing.

With arbitrageurs out of the picture, only depositors remain. Domestic banks with foreign exchange deposits onshore can manage those, and rigorous checks can be applied for large foreign exchange purchases, slowing the pace to await the market's adjustment in terms of sentiment and capital flows. As volatility gradually rises, the floating range can be expanded. When the upper and lower limits are at 5%, the RMB's fluctuation will become very flexible, and RMB internationalization will have a fresh start.