张瑜：汇率出招了，怎么看？——远期售汇风险准备金率下调分析

Core Viewpoint - The People's Bank of China (PBOC) has decided to lower the foreign exchange risk reserve ratio for forward foreign exchange sales from 20% to 0% starting March 2, 2026, to support the development of the foreign exchange market and help enterprises manage exchange rate risks. This move reflects the central bank's determination to curb excessive fluctuations in the appreciation of the Renminbi (RMB) amid recent rapid appreciation [2][4]. Group 1: Background of Policy Adjustment - The recent rapid appreciation of the RMB has been significantly influenced by short-term factors, including seasonal export surges and the release of accumulated foreign exchange settlements. The average daily appreciation from February 24 to 26 was 239 pips, compared to only 31.7 pips in the previous months [6][14]. - The shadow of the counter-cyclical factor has increased, reaching a new high of 610 pips on February 26, indicating the central bank's commitment to controlling excessive appreciation [6][14]. Group 2: Understanding the Forward Foreign Exchange Risk Reserve Ratio - The forward foreign exchange risk reserve is a macro-prudential reserve ratio imposed by the central bank on banks conducting forward foreign exchange sales on behalf of clients. It aims to adjust the cost of banks engaging in forward foreign exchange transactions and suppress pro-cyclical behavior in the foreign exchange market [7][16]. Group 3: Impact Mechanism of the Reserve Ratio - Increasing the risk reserve ratio raises the cost for banks to engage in forward foreign exchange sales, which is typically passed on to enterprises, thereby suppressing their demand for forward purchases in response to depreciation pressure. Conversely, lowering the ratio reduces costs and encourages enterprises to purchase foreign exchange to counter appreciation pressure [8][18]. Group 4: Linkage Between Forward and Spot Markets - Adjustments to the forward foreign exchange risk reserve ratio directly affect the pricing in the forward foreign exchange market, which in turn influences the spot exchange rate. A strong demand for forward purchases leads to increased spot purchases by banks, potentially causing the RMB to depreciate, while a decrease in demand can lead to appreciation [9][20]. Group 5: Cost Impact on Banks - The reduction of the risk reserve ratio from 20% to 0% means banks no longer need to deposit an additional 20% for every $100 in forward transactions. This change saves banks approximately $0.72 in borrowing costs per transaction, translating to a potential savings of about 493 pips for enterprises per dollar in forward purchases if banks pass on the savings [10][23]. Group 6: Historical Review of Policy Adjustments - Historically, the PBOC has adjusted the forward foreign exchange risk reserve ratio five times, with each adjustment having short-term effects on market sentiment but not altering long-term trends. The adjustments have been made in response to both depreciation and appreciation pressures [11][24]. Group 7: Central Bank's Policy Toolbox - The PBOC has a variety of tools at its disposal for exchange rate regulation, including adjustments to the foreign exchange reserve ratio and macro-prudential parameters. The recent reduction in the risk reserve ratio is one of the measures, with potential further actions including increasing the foreign exchange reserve ratio to reduce supply [12][27]. Group 8: Future Outlook on Exchange Rates - The current rapid appreciation of the RMB is deemed unsustainable, with core factors such as strong exports and improving domestic fundamentals being crucial for maintaining a stable appreciation trend. The outlook suggests that while medium-term appreciation is likely, short-term rapid appreciation may not continue due to the fading of temporary factors and policy measures to control excessive fluctuations [13][28][30].