Abstract: Using the method of decomposing non-stationary time series proposed by Beveridge and Nelson, the real effective exchange rate index of RMB is decomposed into deterministic trend component, random trend component and periodic component since the “8.11” exchange rate reform to study the formation mechanism of RMB exchange rate.The deterministic trend analysis shows that although the RMB exchange rate has been devalued since the “8.11” exchange rate reform, the non-trend stationary characteristics of RMB real effective exchange rate index, the fluctuation range of RMB real effective exchange rate and China′s macroeconomic fundamentals show that the RMB exchange rate does not show a long-term depreciation trend;that China′s economy has entered a “new normal” economy, the strong recovery of the US economy and the US dollar′s entry into the interest rate increase channel are the main reasons for the continuous depreciation of RMB, while the pro cyclical nature of market sentiment aggravates the downward pressure on the RMB exchange rate;research on the cyclical components and stochastic trend components of RMB exchange rate shows that the RMB exchange rate has been more sensitive to various external random shocks since “8.11”,the two-way fluctuation of RMB exchange rate presents a normalized trend, and the role of market forces in the formation mechanism of RMB exchange rate is increasing.

Key words: “8.11” exchange rate reform, RMB exchange rate, B-N decomposition