汇率双周报系列之八：人民币升值，“休止”还是“变奏”？-20260228

1. Report Industry Investment Rating - Not provided in the content 2. Core Viewpoints of the Report - Since the beginning of 2026, the RMB has continued to strengthen, and there has been an acceleration since late January. The annualized appreciation rate of the RMB against the US dollar has accelerated to 24.6% since February, which is quite rare in history. The early stage of this round of appreciation was the result of the resonance of seasonal foreign exchange settlement and the weakening of the US dollar, but the further acceleration since late January has shown signs of "panic foreign exchange settlement" [2][63]. - On February 27, the central bank announced to lower the foreign exchange risk reserve ratio from 20% to 0% to boost the forward foreign exchange purchase demand of enterprises and alleviate the one - sided and rapid appreciation of the exchange rate. However, looking back at history, the central bank's regulatory tools mainly play a role in "adjusting the rhythm" and have relatively limited impact on the trend. If the RMB continues to appreciate, the foreign exchange deposit reserve ratio and cross - border financing macro - prudential parameters may also be used [3][63]. - In the short term, the central bank's "smoothing" operation may bring about a phased adjustment of the exchange rate, and there has been some "divergence" in the financial market. After the central bank lowered the foreign exchange risk reserve in September 2017 and October 2020, the RMB exchange rate adjusted by 3.2% and 0.4% respectively, lasting for 15 and 3 trading days. The options market has shown some "loosening" [4][63]. - In the medium term, the exchange rate trend is still dominated by market forces, and the appreciation may continue to some extent. Among the 9 rounds of RMB appreciation since the "811" exchange rate reform in 2015, the one in the second half of 2021 is similar to this round. Compared with that, the scale of "pending foreign exchange settlement" in this round is larger and the fundamental environment is healthier, which may mean that the appreciation still has some continuity. The possible rebound of the US dollar and the intensification of trade frictions may affect the appreciation rhythm of the RMB, but may not reverse the steady appreciation rhythm of the RMB exchange rate in the medium and long term [4][66]. 3. Summary According to the Directory 3.1 Hot Topic Thinking: Is the RMB Appreciation at a "Pause" or a "Variation"? 3.1.1 Why has the RMB Accelerated its Appreciation Recently? The "Herd Effect" of Foreign Exchange Settlement May be Emerging under Continuous Appreciation - Since the beginning of 2026, the RMB has continued to strengthen, and there has been an acceleration since late January. As of February 27, 2026, the offshore RMB once broke through the 6.83 mark and approached 6.80. From the perspective of the entire appreciation cycle, the appreciation from May to November 2025 was relatively stable, with an annualized appreciation rate of about 2.7%. However, since December, the appreciation speed has significantly accelerated, and the annualized appreciation rate has accelerated to 24.6% since February [2][12]. - The appreciation in January was the result of the resonance of the "year - end foreign exchange settlement tide" and the weakening of the US dollar. On the one hand, the "delayed" Spring Festival in February led to the continuation of the improvement of the foreign exchange settlement rate in January. The foreign exchange settlement rates in December 2025 and January 2026 were 61% and 59% respectively, both the highest values for the same months since 2017. The bank's customer foreign exchange settlement and sales surplus reached new highs and second - highs since the "811" exchange rate reform. On the other hand, the weakening of the US dollar also contributed, which was mainly driven by concerns about the intervention of the Japanese Ministry of Finance due to the continuous weakness of the Japanese yen exchange rate and the impact of issues such as the "Greenland Island" incident provoked by Trump [16]. - The further acceleration of appreciation since late January has shown signs of a "herd effect" and "panic defense". Since January 27, the US dollar has appreciated by 1.9%, while the RMB against the US dollar has still strengthened by 1.5%. High - frequency data shows that the inquiry trading volume of the US dollar against the RMB has remained at a relatively high level, indicating that the "foreign exchange settlement tide" may continue after the seasonal decline. The decline of the swap point spread in the "foreign exchange settlement tide" may be due to the further increase of the forward foreign exchange settlement rate, which reflects that the enterprise's "unilateral consensus" is gradually strengthening [23]. 3.1.2 Will the Central Bank's "Intervention" Reverse the Trend? Looking Back at History, it Will Smooth the Rhythm but is Difficult to Change the Trend - On February 27, 2026, the central bank announced to lower the foreign exchange risk reserve ratio for forward foreign exchange sales business from 20% to 0%. This tool aims to boost the forward foreign exchange purchase demand of enterprises to alleviate the one - sided and rapid appreciation of the exchange rate. From a mechanism perspective, lowering the foreign exchange risk reserve ratio has two meanings: signaling and supply - demand adjustment. However, looking at the two previous downward adjustments in September 2017 and October 2020, the effect of supply - demand adjustment mainly drives the continuation of the rebound rhythm of forward foreign exchange purchases, and the actual scale of foreign exchange purchases driven is relatively limited [27]. - This operation is a continuation of the central bank's counter - cyclical adjustment in the context of the rapid appreciation of the exchange rate. In the future, tools such as the cross - border financing macro - prudential adjustment parameter and the foreign exchange deposit reserve ratio may also be used. Looking back at history, if the RMB exchange rate continues to appreciate, these tools may be activated. Overall, the central bank's regulatory tools for the foreign exchange market mainly play a role in "adjusting the rhythm" and have relatively limited impact on the overall trend [30][35]. 3.1.3 How will the Exchange Rate Evolve in the Future? There May be a Phased Adjustment in the Short Term, and a Steady Appreciation Trend may Continue in the Medium and Long Term - In the short term, the central bank's "smoothing" operation may bring about a phased adjustment, and there has been some "divergence" in the financial market. Historically, after the central bank lowered the foreign exchange risk reserve in September 2017 and October 2020, the RMB exchange rate adjusted by 3.2% and 0.4% respectively, lasting for 15 and 3 trading days. The options market has shown some "loosening", with the 3 - month at - the - money option implied volatility rising slightly since January and the 25 - delta risk reversal factor rising continuously since January and turning positive again, indicating that some funds are using options to defend against the risk of RMB weakening [41]. - In the medium term, the exchange rate trend may still be dominated by market forces, and the second half of the appreciation cycle from 2020 to 2021 can be used as a reference. Compared with 2021, the scale of "pending foreign exchange settlement" in this round is larger and the fundamental environment is healthier, which may mean that the appreciation in the medium - and long - term perspective still has some continuity. Possible future events such as the rebound of the US dollar and the intensification of trade frictions may affect the appreciation rhythm of the RMB, but may not reverse the steady appreciation rhythm of the RMB exchange rate in the medium and long term [46][54]. 3.2 Large - scale Assets & Overseas Events & Data: The Three Major US Stock Indexes Fell Collectively, and the Prices of Gold and Silver Rose in Resonance 3.2.1 Large - scale Assets: The Three Major US Stock Indexes Fell Collectively, and the Prices of Gold and Silver Rose in Resonance - During the week, most developed - market stock indexes and emerging - market stock indexes rose. Among developed - market stock indexes, the Nikkei 225, the UK FTSE 100, and the Australian All Ordinaries Index rose by 3.6%, 2.1%, and 1.4% respectively. Among emerging - market stock indexes, the South Korean KOSPI, the Thai SET Index, and the Ho Chi Minh Index rose by 7.5%, 3.3%, and 3.1% respectively, while the Cairo CASE30, the Indian SENSEX30, and the Brazilian BOVESPA Index fell by 2.9%, 1.8%, and 0.9% respectively [67]. - Most sectors of the US S&P 500 rose during the week. The utilities, consumer staples, and healthcare sectors rose by 2.9%, 2.7%, and 2.1% respectively, while the information technology, financial, and consumer discretionary sectors fell by 2.2%, 2.0%, and 0.5% respectively. Most sectors in the eurozone also rose. The utilities, energy, and communication services sectors rose by 5.3%, 3.1%, and 2.9% respectively, while the healthcare, technology, and non - essential consumer sectors fell by 1.9%, 0.7%, and 0.6% respectively [69]. - The Hang Seng Index mostly fell during the week, but most sectors rose. The Hang Seng Tech Index and the Hang Seng China Enterprises Index fell by 1.4% and 1.1% respectively, while the Hang Seng Index rose by 0.8%. Among sectors, the raw materials, finance, and real estate construction sectors rose by 4.8%, 2.9%, and 2.8% respectively, while the healthcare, non - essential consumer, and information technology sectors fell by 5.0%, 1.8%, and 1.0% respectively [73]. - The 10 - year government bond yields of most developed countries declined during the week. The 10 - year US Treasury yield fell 11.0bp to 3.97%, the German 10 - year government bond yield fell 5.0bp to 2.76%, the UK 10 - year government bond yield fell 0.88bp to 4.36%, the French 10 - year government bond yield fell 8.4bp to 3.22%, the Italian 10 - year government bond yield fell 7.2bp to 3.28%, and the Japanese 10 - year government bond yield rose 4.3bp to 2.17% [75]. - The 10 - year government bond yields of most emerging markets declined during the week. Brazil's yield fell 10.6bp to 13.43%, India's fell 6.4bp to 6.66%, Vietnam's fell 0.3bp to 4.25%, South Africa's fell 2.5bp to 7.97%, Thailand's fell 17.3bp to 1.72%, and only Turkey's rose 207.0bp to 30.23% [78]. - The US dollar index declined during the week, and most other currencies appreciated against the US dollar. The US dollar index fell 0.1% to 97.64, the euro appreciated 0.3% against the US dollar, the pound sterling appreciated 0.5% against the US dollar, the Canadian dollar appreciated 0.3% against the US dollar, and the Japanese yen depreciated 0.7% against the US dollar. Most major emerging - market currencies appreciated against the US dollar. The Brazilian real appreciated 0.9% against the US dollar, the Philippine peso appreciated 0.7% against the US dollar, the South Korean won appreciated 0.5% against the US dollar, the Indonesian rupiah appreciated 0.4% against the US dollar, the Egyptian pound depreciated 0.8% against the US dollar, the Mexican peso depreciated 0.5% against the US dollar, and the Turkish lira depreciated 0.2% against the US dollar [80]. - The RMB appreciated against the US dollar during the week. The exchange rates of the US dollar against the on - shore and offshore RMB changed to 6.8559 and 6.8612 respectively. The Japanese yen depreciated 2.3% against the RMB, the pound sterling depreciated 1.7% against the RMB, and the euro depreciated 1.3% against the RMB [86]. - Most commodity prices rose during the week. Brent crude oil prices rose 1.0% to $72.5 per barrel, WTI crude oil prices rose 0.8% to $67.0 per barrel, LME nickel prices rose 3.2% to $17,880 per ton, glass prices rose 2.0% to 1,062 yuan per ton, and hog prices fell 0.1% to 11,485 yuan per ton. Non - ferrous metal prices and precious metal prices all rose. LME aluminum rose 2.8% to $3,163 per ton, LME copper rose 5.2% to $13,482 per ton, inflation expectations fell 3bp to 2.25%, COMEX silver prices rose 11.1% to $93.8 per ounce, COMEX gold prices rose 4.1% to $5,280.0 per ounce, and the real yield of the 10 - year US Treasury fell 8bp to 1.72% [90][95]. 3.2.2 US Treasury Bonds: The TGA Scale Declined, and the Net Issuance of US Treasury Bonds Declined - As of February 25, 2026, the US TGA balance dropped to $839 billion, significantly lower than at the end of January 2026. During the week (from February 23 to February 25, 2026), the net issuance of US Treasury bonds was flat compared with the previous week, with short - term Treasury bonds being issued at a relatively high scale on multiple days. The 15 - day rolling net issuance of US Treasury bonds recently dropped to $11.424 billion [99]. 3.2.3 US Fiscal Situation: The Cumulative US Fiscal Deficit Reached $250.4 Billion - As of February 24, 2026, the cumulative US fiscal deficit in the 2026 calendar year was $250.4 billion, compared with $303.6 billion in the same period last year. The cumulative expenditure was $1.2411 trillion, compared with $1.1822 trillion in the same period last year. The cumulative fiscal tax revenue was $782.8 billion, compared with $710.4 billion in the same period last year. The tariff revenue was $58.1 billion, compared with $11.3 billion in the same period last year [103]. 3.2.4 Federal Reserve: Waller Believes that the March Decision will Depend on the February Employment Data - In the past week, the public statements of Federal Reserve officials mainly focused on economic outlook, labor market signals, the impact of AI/productivity, inflation stickiness, and monetary policy stance, maintaining the cautious and data - dependent characteristics after the January FOMC meeting. Waller believes that the March decision will depend on the February employment data. Goolsbee believes that further progress in inflation is needed, and Barkin does not think that the Supreme Court's decision will have a significant impact on the inflation trend [109]. 3.2.5 PPI: The US PPI in January was Stronger than Expected - The US PPI (final demand) in January was 2.9% year - on - year and 0.5% month - on - month, stronger than market expectations. The contribution of the service component to the PPI increased, mainly driven by sub - items such as trade services, which may mean that the US PCE inflation faces upward pressure [115]. 3.2.6 Retail Sales: Japan's Retail Sales in January were Stronger than Expected - Japan's retail sales in January increased by 4.1% month - on - month, compared with a market expectation of 1.5%, and 1.8% year - on - year, compared with a market expectation of 0.1%. In terms of the month - on - month structure, the year - on - year growth rates of machinery and equipment and motor vehicles in January reached 12.4% and 9.6% respectively, which may be related to the fiscal stimulus measures introduced by the Japanese government [118]. 3.2.7 High - frequency Data: The Number of Unemployment Insurance Claims was Lower than Market Expectations - As of the week ending February 21, the initial unemployment insurance claims in the US were 212,000, lower than the market expectation of 216,000. As of the week ending February 14, the continued unemployment insurance claims were 1.833 million, lower than the market expectation of 1.858 million (both on a seasonally adjusted basis). From a non - seasonally adjusted perspective, the data of the two types of unemployment insurance claims in the US are in line with historical patterns [121]. 3.3 Global Macroeconomic Calendar: Pay Attention to the US Non - farm Payrolls - The report provides a global macroeconomic data calendar, highlighting the need to pay attention to the US non - farm payrolls data [131].