As long as China was running a trade surplus and receiving net inflows of foreign direct investment, the RMB remained under upward pressure. Short-term capital flows had little impact on the direction of the RMB’s exchange rate.
There were two reasons for this. First, thanks to an effective – albeit porous – capital-control regime in China, short-term “hot money” (capital coming into China aimed at arbitrage, rent-seeking, and speculation) could not enter (and then leave) freely and swiftly. Second, short-term capital flows usually would strengthen rather than weaken upward pressure on the RMB’s exchange rate, because speculators, persuaded by China’s gradual approach to revaluation, bet on appreciation.
So why, if China was still running a decent current-account surplus and a long-term capital surplus, did the RMB suddenly depreciate, forcing the PBoC to intervene (though not very vigorously) to prevent it from falling further?
Many economists outside of China have argued that the December depreciation resulted from betting by investors that Chinese policymakers, facing the prospect of a hard landing for the economy, would slow or halt currency appreciation. But if that were true, we would now be seeing significant long-term capital outflows and heavy selling of RMB for dollars in China’s foreign-exchange market.
We see neither reaction. More importantly, the RMB’s slow appreciation resumed fairly promptly after December’s dip, while investors’ bearish sentiments about China’s economy remain consistent.
In fact, the RMB’s sudden fall in December reflects China’s liberalization of cross-border capital flows. That process began in April 2009, when China launched the pilot RMB Trade Settlement Scheme (RTSS), which enables enterprises, especially larger ones, to channel their funds between Mainland China and Hong Kong. As a result, an offshore RMB market, known as the CNH market, was created in Hong Kong alongside the onshore market, now dubbed the CNY market.
But, in contrast to the CNY, the CNH is a free market. Given expectations of RMB appreciation and a positive interest-rate spread between Mainland China and Hong Kong, the RMB had a higher value in dollar terms on the CNH than on the CNY market. That difference led to active exchange-rate arbitrage by mainland importers and multinational firms – one form of capital inflows from Hong Kong to the mainland. Correspondingly, RMB liabilities owed by mainland Chinese and multinationals increased, as did RMB assets held by Hong Kong residents.
Exchange-rate arbitrage by mainland importers and multinationals creates upward pressure on the CNY and downward pressure on the CNH. In an economy with flexible interest and exchange rates, arbitrage eliminates the exchange-rate spread quickly. But, because China’s exchange rate and interest rates are inflexible, the CNH-CNY spread persists, and arbitragers are able to reap fat profits at the economy’s expense.
Last September, however, financial conditions changed suddenly in Hong Kong. The liquidity shortage caused by the European sovereign debt-crisis led developed countries’ banks – especially European banks with exposure in Hong Kong – to withdraw their funds, taking dollars with them. As a result, the CNH fell against the dollar. At the same time, the shortage of dollars had not yet affected the CNY, which remained relatively stable.
The CNH therefore became cheaper than the CNY. Consequently, mainland importers and multinationals stopped buying dollars from the CNH market and returned to the CNY market. At the same time, mainland exporters stopped selling dollars in the CNY market and turned to the CNH market.
The dollar shortage created depreciation pressures on the CNY, which the PBoC declined to offset. The CNY was thus bound to fall, which it did last September.
Reverse arbitrage meant capital outflows from the Chinese mainland. Correspondingly, RMB liabilities owed by mainlanders and multinationals decreased, as did RMB assets held in Hong Kong. In fact, increases in financing costs and uncertainty about RMB appreciation prompted a partial sell-off of RMB assets by Hong Kong residents.
In short, because the RTSS made cross-border capital movements much easier, short-term flows have become a major factor in determining the RMB’s exchange rate. External shocks affect the offshore exchange rate first, and then feed through to the onshore exchange rate.
The RMB will continue to appreciate in the near future, owing to strong economic fundamentals, but the inherent instability of short-term capital flows will make its exchange rate more volatile. This change is bound to pose new challenges for decision makers in the United States and China, particularly as they engage in a fresh round of debate about China’s exchange-rate policy.
Yu Yongding, President of the China Society of World
Economics, is a former member of the monetary policy committee of the Peoples’
Bank of China and former Director of the Chinese Academy of Sciences Institute
of World Economics and Politics.
余永定: 好動的人民幣
北京—從2005年7月到去年12月，人民幣一直在逐漸升值。但此后人民幣出現了出人意料的貶值，連續11個交易日觸及中國人民銀行設定的日交易下限。盡管此后人民幣又重新回到了緩慢升值的軌道，但其匯率變動的軌跡也許已經發生了永久改變。
隻要中國存在貿易順差和淨外國直接投資流入，人民幣就會承受升值壓力。短期資本流對人民幣匯率幾乎沒有影響。
原因有二。其一，由於中國卓有成效（盡管漏洞很多）的資本管制，短期“熱錢”（即流入中國以套利、尋租和投機為目的的資本）無法迅速自由地進出。其次，短期資本流通常加強而不是削弱了人民幣的升值壓力，因為投機者在中國漸進的升值態度的指引下，都在賭人民幣會升值。
那麼，既然中國仍然存在漂亮的經常項目順差和長期資本盈余，為什麼人民幣會突然貶值，迫使人民銀行出手干預（盡管力度不是很大）以防止其進一步下跌呢？
許多外部經濟學家指出，12月貶值的原因是投資者認為中國決策者在面臨經濟硬著陸的前景時，將延緩甚至叫停人民幣的升值。但如果這種觀點正確，那麼我們現在應該看到大量長期資本流出以及中國外匯市場上出現大量拋售人民幣換取美元的現象。
但這兩種現象一個都沒有出現。更重要的是，在12月的貶值之后，人民幣又相當穩健地回到了緩慢升值的軌道上，而與此同時，投資者看熊中國經濟的情緒並沒有緩解。
事實上，12月人民幣的突然貶值反應出中國跨境資本流的自由化。這一過程始於2009年4月，當時中國開始試點人民幣貿易結算機制（RTSS），企事業單位（尤其是大型企事業單位）可以在大陸和香港之間轉移資金。結果，離岸人民幣市場，即CNH市場，在香港被建設起來，與在岸市場（現在稱為CNY市場）並行。
但是，與CNY不同，CNH是一個自由市場。在人民幣升值以及大陸-香港正利差的預期下，人民幣的CNH市場美元價值要高於CNY市場。這一差別促使大陸進口商和跨國公司開展了積極的套利活動——即資本從香港流入大陸的一種形式。相應地，大陸中國居民和跨國公司的人民幣債務增加了，香港居民持有的資產亦然。
大陸進口商和跨國公司的匯率套率行為在CNY市場上造成了升值壓力，而在CNH市場上造成了貶值壓力。在一個具有彈性利率和匯率的經濟體中，套利會迅速消除利率差別。但是，由於中國的匯率和利率缺乏彈性，因此CNH-CNY利差持續存在，套利者得以賺取豐厚利潤，而代價則由經濟承擔。
但是，去年9月，香港財金融況急轉直下。因歐洲主權債務危機導致的流動性短缺使得發達國家銀行——特別是對香港存在風險敞口的歐洲銀行——以美元的形式抽回了資金。結果，CNH開始對美元貶值。與此同時，美元短缺尚未影響到CNY，CNY市場繼續保持相對穩定。
於是，CNH變得比CNY更便宜了。其結果是，大陸進口商和跨國公司不再通過CNH市場買入美元再通過CNY市場換回人民幣。與此同時，大陸出口商也不再在CNY賣出美元然后通過CNH市場換回美元。
美元短缺造成了CNY市場的貶值壓力，而人民銀行拒絕對此有所反應。於是，CNY不可避免地要出現貶值，這就是去年9月的情形。
反向套利意味著資本從中國大陸流出。相應地，大陸居民和跨國公司持有的人民幣債務下降了，香港居民持有的人民幣資產亦然。事實上，融資成本的上升以及人民幣升值的不確定性觸發了香港居民單方面甩賣人民幣資產。
簡言之，因為RTSS的出現，跨國資本流動變得更加容易，短期流動成為決定人民幣匯率的主要因素。外部沖擊首先影響離岸市場，然后影響在岸匯率。
在短期未來，人民幣還將繼續升值，這是強勁的經濟基本面決定的，但短期資本流的內在不穩定性將會導致人民幣匯率更加波動。這一變化將不可避免地給美國和中國的決策者帶來新的挑戰，特別是在他們准備開展新一輪中國匯率政策辯論的當口。
余永定是中國世界經濟學會主席，前中國人民銀行貨幣政策委員會成員，前中國社會科學院世界經濟與政治研究所所長。
