摘要
从汇率入手,通过建立VAR模型,对实施紧密经贸安排前后两阶段的人民币与港元汇率进行Jo-hansen协整检验和G ranger因果检验,重点研究两者汇率的波动性和相关性呈现出的新特点。结果表明,加强内地和香港经贸合作之后,人民币汇率与港元汇率表现出长期的均衡关系,且存在时间上的相互引导。
In this article, the relationship of exchange rate of Renminbi and Hong Kong dollar is studied via Johansen cointegration test and Granger causality test in VAR model. It demonstrates that the exchange rate of Renminbi and Hong Kong dollar is integrated in the long run and Granger caused each other since the economic interrelation between China's Mainland and Hong Kong SAR has been significantly reinforced.
出处
《财经理论与实践》
CSSCI
北大核心
2009年第5期22-26,共5页
The Theory and Practice of Finance and Economics
