关键词: 人民币汇率定价, 逆周期因子, 驱动因素, 实施效果

Abstract: This paper calculates the countercyclical factor used in the RMB exchange rate pricing from May 2017 to September 2019. In this paper, a nonrestrictive VAR model is built to analyze the driving factors and implementation effects of the People's Bank of China (PBC)'s two uses of countercyclical factor. The study finds that: First, compared with the time of official announcement, the two countercyclical factor adjustments started earlier and ended later, and the adjustment ranges gradually narrowed; second, the adjustment range of the second countercyclic factor adjustment was larger than that of the first adjustment; third, the RMB exchange rate volatility was the main driving factor for the first countercyclical adjustment, while the gap between offshore and onshore exchange rates and the uncertainty of exchange rate policies were the main driving factors for the second adjustment; fourth, the two countercyclical factor adjustments both restrained RMB exchange rate volatility, but intensified the expectation of RMB depreciation on offshore market.

Key words: RMB exchange rate pricing, countercyclical factors, driving factors, implementation effect