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2004年内地与香港开始实施一系列更紧密经贸关系的安排(CEPA),随后,人民币离岸业务也在港逐步开展。在这一市场变革中,价格作为最敏感的信号,理应对两地经济金融关系的变化有所反映。本文从货币的价格——汇率入手,对人民币兑美元与港币兑美元的名义汇率进行适当调整后,研究人民币汇率与港币汇率间的相互关系,对CEPA前后两个阶段分别建立VAR模型,进行Johansen协整检验和Granger因果检验。检验结果表明:在CEPA实施后,人民币汇率与港币汇率表现出长期稳定关系,并且人民币与港币之间存在相互引导关系。这说明香港特区成立10年来两地经济关系逐步协同,尤其是最近4年多来CEPA框架下,两地贸易、金融加速融合。
In 2004, the Mainland and Hong Kong started to implement a series of Closer Economic Partnership Arrangement (CEPA). Subsequently, the RMB offshore business was gradually implemented in Hong Kong. In this market reform, as the most sensitive signal, price should be reflected in the changes in economic and financial relations between the two places. After adjusting the nominal exchange rate of RMB against the US dollar and Hong Kong dollar against the US dollar, the paper studies the relationship between the RMB exchange rate and the exchange rate of Hong Kong dollar, establishes the VAR model for the two phases before and after CEPA, Cointegration test and Granger causality test. The test results show that after the implementation of CEPA, the RMB exchange rate and the Hong Kong dollar exchange rate showed a long-term stable relationship, and there is mutual guidance between the RMB and the Hong Kong dollar. This shows that the economic relations between the two places are gradually synergistic over the past 10 years since the establishment of the HKSAR. In particular, under the CEPA framework in the past four years or more, the trade and financial exchanges between the two places have accelerated.