人民币替代港币的动态变化研究——基于四变量SVAR模型

A Research on Dynamics of the Substitution of RMB and Hong Kong Dollar——Based on Four-variable Structural VAR Model

文章基于2004年2月-2015年4月的月度数据,根据凯恩斯的货币需求理论和资产组合理论结合香港地区的实际情况,运用结构向量自回归(SVAR)模型方法,研究交易需求、投机需求和外部冲击对人民币替代港币动态变化的动态冲击效应。文章研究得出:在短期内三者均对人民币替代港币的动态变化具有正向显著影响,而在长期内只有交易需求和基于人民币对港币的汇率预期的投机需求对其具有正向显著影响;在当前经济和金融发展水平条件下,虽然人民币对港币替代程度尚不足以改变香港地区货币体系,但是随着香港地区人民币离岸市场的迅速建设和人民币国际化战略的实施,人民币已经开始影响香港地区货币体系,港币在一定程度上已经开始盯住人民币。

Based on the monthly data from February 2004 to April 2015,according to the Keynesian Monetary Demand Theory and the Portfolio Theory combined with the actual situation in Hong Kong,through the method of the structure of vector autoregressive（ SVAR） model,the dynamics of the substitution of the RMB for Hong Kong Dollar is researched. There are two points concluded.Firstly,in the short term,three shocks contain positive significant effects on the dynamics of the substitution of RMB for Hong Kong Dollar,and in the long term,only trade demand and speculative demand have positive significant influences. Secondly,under the conditions in current economic and financial development level,although the degree of the Substitution of RMB for Hong Kong Dollar is still not enough to change monetary system in Hong Kong,with the rapid improvement of offshore RMB market’s for Hong Kong and the implementation of the strategy about the internationalization of Chinese Yuan,RMB has already begun to affect Hong Kong currency system,and the Hong Kong Dollar has been pegged to Chinese Yuan with a certain degree.