——2026 年 CFETS 新权重简评 宏观研究 证 券 研 究 报 告 【宏观快评】 五问 CFETS 权重调整 事 项 2025 年 12 月 31 日，中国外汇交易中心公告调整 CFETS 人民币汇率指数货币 篮子的权重。新版指数自 2026 年 1 月 1 日起生效。 主要观点： 一、何为 CFETS 指数？ CFETS 人民币汇率指数是以贸易份额为权重、参考 CFETS 货币篮子，采用几 何平均法，基于人民币对篮子货币中间价编制的名义一篮子货币指数。 二、篮子权重如何调整？以 T-2 年贸易份额为基准 2020 年开始，外汇交易中心每年底调整一次货币权重，新权重适用于下一年。 调整依据是考虑转口贸易因素的两年前的贸易份额变化，即当年货币权重对 应参考 T-2 年贸易份额，如 2026 年新权重参考的是 2024 年度贸易数据。 三、2026 年新权重有何变化？ 1、2026 年新版权重与 2024 年贸易份额基本匹配。详见图 1。考虑到转口贸易 因素，美元权重、欧元权重明显高于美国、欧元区贸易额占比，港元权重则显 著低于中国香港贸易额占比；其余币种权重与贸易额占比偏差的绝对值不超过 0.4 个点。 ...

BIS货币篮子人民币汇率指数的货币篮子和权重调整方面，公告表示，国际清算银行（BIS）最新一次 货币篮子和权重调整时间为2023年1月，交易中心已相应调整BIS货币篮子人民币汇率指数的货币篮子 和权重。由于保加利亚自2026年1月起加入欧元区，保加利亚列维是BIS篮子货币之一。因此，新版BIS 货币篮子将删除保加利亚列维，同时将保加利亚列维对应的权重增加至欧元权重。 对比2024年，新版CFETS货币篮子中，美元权重从0.18903下调至0.183067910333，欧元权重从0.17902 下调至0.178618845848，韩元（最新权重为0.084557506297）取代日元（最新权重为0.081182351858） 成为第三大权重货币，澳大利亚元的权重从0.05947下调至0.054093213303，权重位列第六和第七的马来 西亚林吉特和俄罗斯卢布的权重较2024年上升。 公告称，CFETS人民币汇率指数的篮子货币权重是采用考虑转口贸易因素的贸易权重法计算而得，现版 指数采用的是2023年度贸易数据。为进一步增强指数代表性，新版指数采用2024年度贸易数据作为权重 进行调整。经历史回溯试算，新版和现 ...

中国外汇交易中心发布公告，调整CFETS人民币汇率指数货币篮子的权重以及BIS货币篮子人民币汇率 指数的货币篮子和权重。新版指数自2026年1月1日起生效。新版CFETS货币篮子和权重中，美元权重从 约0.19460降至0.183067910333，欧元权重从约0.18079降至0.178618845848，日元权重从约0.08963降至 0.081182351858，卢布权重从约0.04603升至0.050400759694。 ...

（文章来源：第一财经） 中国外汇交易中心发布关于调整CFETS人民币汇率指数、BIS货币篮子人民币汇率指数货币篮子和权重 的公告。其中提出，新版CFETS货币篮子中美元权重为0.18307。新版BIS货币篮子将删除保加利亚列 维，同时将保加利亚列维对应的权重增加至欧元权重。交易中心继续保持SDR货币篮子人民币汇率指数 的货币篮子和权重不变。 ...

（本文作者廖博为浙商证券研究所宏观联席首席分析师） 最近一段时间支撑人民币汇率保持韧性的因素主要包括跨境资金净流入、结售汇趋向平衡、市场主体对 汇率波动预期平稳以及活跃的外汇市场交易。从基本面看，当前我国经济稳中向好，经济结构调整取得 积极进展，增长动力加快转换，增长韧性较强，人民币汇率有条件在合理均衡水平上保持基本稳定。前 期逆周期政策将渐次落地形成对基本面的托底作用，全年实现5%左右的GDP增长目标难度较低。由于 此前美元坚挺、美元利率高，我国大量顺差没有结汇，而我们认为9月已看到美联储开启降息周期，美 元趋于走弱或推动人民币升值，可能引发企业结汇需求上升，尤其是四季度是季节性结汇高峰。 从经济学理论上看，汇率是通过诸如购买力平价、利息平价、远期汇率等关系表现出来的。更重要的 是，CFETS人民币汇率指数能够更加全面地反映一国货币的价值变化，为市场转变观察人民币汇率的视 角提供了量化指标，以便更加全面和准确地反映市场变化情况。CFETS货币篮子具体包括中国外汇交易 系统（中心）挂牌的主要外汇交易币种，比如美元、欧元、英镑、日元等，样本货币权重采用考虑转口 贸易因素的贸易权重法计算而得。 从外部环境看，中美 ...

本报讯 记者张弛报道 中国外汇交易中心最新计算的12月19日CFETS人民币汇率指数为97.88，较此 前交易周最后一个交易日（12月12日）上涨0.17。 为便于市场从不同角度观察人民币有效汇率的变化情况，中国外汇交易中心参考BIS货币篮子、 SDR货币篮子计算了人民币汇率指数，12月19日上述两个指数分别为104.56和92.36，较12月12日分别上 涨0.28和0.17。 责任编辑：袁浩 ...

Core Viewpoint - The recent strengthening of the Chinese yuan against the US dollar has garnered significant market attention, with the yuan's mid-price rising to 7.0779, the highest since October 14, 2024, driven by expectations of a potential interest rate cut by the Federal Reserve in December [1][2]. Group 1: Reasons for Yuan Strengthening - The yuan's recent strength is attributed to two main factors: the continuous adjustment of the yuan's mid-price towards a stronger direction and the overall positive performance of the domestic economy, which has not fully matched the depreciation of the dollar [2][3]. - Increased demand for currency conversion (结汇) due to better-than-expected export performance and a recovering capital market has bolstered confidence in the yuan [2][3]. Group 2: Impacts of Yuan Strengthening - The appreciation of the yuan is expected to boost market confidence, particularly among foreign investors, making holding yuan-denominated assets more attractive and potentially leading to increased capital inflows into Chinese stock and bond markets [5][6]. - For foreign trade enterprises, the yuan's appreciation may pose challenges by making exports more expensive, while simultaneously reducing import costs for businesses reliant on imported goods [5][6]. Group 3: Future Outlook - The yuan is likely to maintain a strong position in the short term, influenced by the dollar's performance, the central bank's control over the mid-price, and domestic economic growth policies [7][8]. - While the yuan may experience fluctuations, a significant appreciation beyond 7.0 against the dollar before the end of the year is considered unlikely, with a stable dual-directional fluctuation expected through 2026 [8][9].

Core Viewpoint - The recent strengthening of the Renminbi (RMB) against the US dollar reflects a dual strength in both currencies, with the RMB reaching a high point not seen in over a year, supported by various economic factors [1][2]. Group 1: Currency Performance - The RMB to USD central parity rate was adjusted upwards on November 26, reaching around 7.08, with both onshore and offshore RMB showing gains [1]. - The USD index has risen from approximately 96 in mid-September to around 100, while the RMB has shown an upward trend against the dollar, indicating a strong performance against a basket of currencies [1]. Group 2: Economic Fundamentals - China's economy has demonstrated resilience this year, with enhanced export strength and a favorable international balance of payments, totaling $11.6 trillion in foreign exchange receipts for the first three quarters, a historical high for the period [1]. - There has been a net inflow of $119.7 billion in cross-border capital, surpassing the previous year's figures, indicating a positive trend in foreign exchange market expectations and supply-demand dynamics [1]. Group 3: Market Expectations - The upcoming Federal Reserve interest rate cuts are expected to further support the RMB's strength, alongside the traditional seasonal peak for currency settlement at year-end [2]. - The foreign exchange market in China has remained stable amid complex international conditions, with a general expectation for the RMB to maintain stability or even appreciate in the near term [2]. - Companies are increasingly adopting a neutral stance on exchange rate risks, improving their risk management capabilities, which is expected to solidify the foundation for a stable RMB exchange rate [2].

Core Insights - The offshore and onshore RMB exchange rates against the USD have both surpassed the 7.09 mark, reaching a new high in over a year, with the central parity rate set at 7.0826 RMB per USD, an increase of 21 basis points from the previous trading day [1] - The RMB's mid-price has appreciated approximately 1000 basis points year-to-date, supported by a weaker USD and strong domestic equity market performance attracting foreign investment [1] - Experts predict that the RMB will maintain a strong performance against the USD in the short term and may experience moderate appreciation through 2026 [1] Group 1 - The recent appreciation of the RMB is attributed to two main factors: the continuous adjustment of the RMB's mid-price towards a stronger direction and the robust performance of the domestic economy since the beginning of the year, alongside a significant decline in the USD [2] - The adjustment in the RMB exchange rate is aimed at stabilizing the external environment for China's foreign trade enterprises, with expectations of continued strong performance in the short term [2] - The anticipated future actions of the Federal Reserve, including potential interest rate cuts, and the impact of the Trump administration's tariff policies on the US economy are expected to limit the upward potential of the USD index [2] Group 2 - The impact of external fluctuations on China's exports is becoming evident in the fourth quarter, with significant policy measures in place to stabilize the economy, including the issuance of 500 billion RMB in new policy financial instruments and local government debt limits [3] - The internal economic fundamentals are expected to provide substantial support for the RMB exchange rate, with a focus on maintaining a stable RMB against the USD [3] - The RMB exchange rate is projected to remain stable, with limited potential for rapid appreciation above the 7.0 mark before the end of the year [3]

Core Viewpoint - The offshore and onshore RMB exchange rates against the US dollar have both surpassed the 7.09 mark, reaching a high not seen in over a year, driven by a weak dollar environment and strong domestic equity market performance attracting foreign investment [1] Group 1: RMB Exchange Rate Dynamics - As of November 25, the central parity rate of RMB against the US dollar was set at 7.0826, an increase of 21 basis points from the previous trading day, with a year-to-date increase of approximately 1000 basis points [1] - Analysts attribute the recent appreciation of the RMB to two main factors: the continuous adjustment of the RMB central parity rate towards a stronger direction and the unexpected growth in exports, which has boosted confidence in the RMB [2][1] Group 2: Future Outlook - The RMB is expected to maintain a strong performance in the short term, with key factors to monitor including the US dollar's movements, the adjustment of the RMB central parity rate, and the effectiveness of domestic growth policies [2] - The potential for further interest rate cuts by the Federal Reserve and the impact of US tariff policies are likely to limit the upward movement of the dollar index, while the RMB is expected to remain stable with limited volatility against the dollar [2] Group 3: RMB Exchange Rate Indices - As of November 21, all three major RMB exchange rate indices showed an increase, with the CFETS index at 98.22 (up 0.39), the BIS index at 104.66 (up 0.5), and the SDR index at 92.6 (up 0.34), all reaching their highest levels since April 2025 [3]