五问CFETS权重调整——2026年CFETS新权重简评

Core Viewpoint - The CFETS RMB Exchange Rate Index will adjust the currency basket weights based on trade shares, effective from January 1, 2026, reflecting changes in trade data from 2024 [1]. Group 1: What is the CFETS Index? - The CFETS RMB Exchange Rate Index is a nominal basket currency index calculated using geometric averaging based on the RMB's middle price against a basket of currencies, weighted by trade shares [3][12]. Group 2: How are the basket weights adjusted? - The currency weights are adjusted annually based on trade shares from two years prior, with the new weights applying to the following year [4][13]. Group 3: Changes in the 2026 New Weights - The new weights for 2026 align closely with the 2024 trade shares, with notable discrepancies for the USD and EUR being higher than their respective trade shares, while the HKD is significantly lower [5][14]. - The concentration of the top five currencies has declined for four consecutive years, with their combined weight dropping to 58.15% in 2026, averaging a decline of approximately 1.31 percentage points per year [6][20]. - The weight of developed market currencies has decreased from 76.97% in 2020 to 69.56% in 2026, while emerging market currencies have increased from 23.03% to 30.44% [7][22]. - The weight of the USD has decreased from 19.88% in 2022 to 18.31% in 2026, with an average annual reduction of about 0.51 percentage points [8][24]. - Among emerging market currencies, those from ASEAN, the Middle East, and Russia have the highest weights, collectively accounting for 19.29% of the emerging market currency weight in 2026 [8][30]. Group 4: Trade Share Changes in 2025 - The trade shares from 2025 will guide the adjustments for the currency basket weights in 2027, indicating a potential continuation of the decline in the concentration of the top five currencies [9][34]. - The share of developed market trade is expected to decline further, while emerging market trade shares are anticipated to rise [9][36]. - The significant drop in the US trade share suggests a further decrease in the weight of the USD [9][39]. - Trade shares for ASEAN and Middle Eastern currencies are expected to rise, while the share for Russian trade may decline [9][40]. Group 5: Impact of New Weights on RMB Exchange Rate - The internal and external linkage analysis framework indicates that the new weights will affect the RMB exchange rate dynamics [9][42]. - The influence coefficient of the USD index on the USDCNY middle price has decreased from 0.337 to 0.331, indicating reduced depreciation pressure on the RMB against the USD [9][45]. - Under the new weights, a 5% increase in the USD index could lead to a passive depreciation of the RMB against the USD by approximately 1.66% [9][50].