人民币替代港币影响因素的实证研究

An Empirical Study on the Influencing Factors of Substitution of RMB for Hong Kong Dollar

香港回归以来,内地与香港日益紧密的联系以及香港地区人民币离岸市场的迅猛发展,引发了对人民币与港币间货币替代的讨论。文章通过建立SVAR模型,选取20072018年的香港经济及金融季度数据,分析各经济变量对人民币替代港币的冲击及影响程度。实证表明香港GDP、两地通货膨胀率之差、利率差、进出口贸易总额和内地对香港的直接投资总额对人民币对港币的替代具有正向冲击,港元兑人民币的汇率预期对其具有负向冲击,长期来看内地访港旅客数与货币替代率正相关,而人民币的货币供应量对货币替代无显著影响。此外,香港GDP与汇率预期这两个因素对货币替代的影响程度较大,内地访港旅客数对货币替代率的影响则具有一定的时滞性。

Since Hong Kong’s return to China,the increasingly close link between mainland and Hong Kong and the rapid development of RMB offshore market in Hong Kong S.A.R.have triggered the discussion on the currency substitution between RMB and Hong Kong dollar.This paper selects quarterly economics and finance data of Hong Kong from 2007 to 2018 to analyze the influence of various economic variables on the substitution of RMB for Hong Kong dollar by establishing SVAR model.Empirical results show that GDP of Hong Kong,differences of inflation rate and interest rate between Chinese mainland and Hong Kong S.A.R.,total volume of imports and exports and FDI from mainland all have a positive impact on the substitution of RMB for Hong Kong dollar;the expected exchange rate between RMB and Hong Kong dollar has a negative impact on it;the number of mainland visitors is positively correlated with currency substitution rate in the long run;and the money supply of RMB has no significant influence on currency substitution.Besides,GDP of Hong Kong and exchange rate expectations both have a great impact on currency substitution,and the number of mainland visitors has a certain time-lag effect on the currency substitution rate.