【作者】 王晓芳； 张娥；

【机构】 西安交通大学经济与金融学院；

【摘要】 本文在对人民币和港元汇率传导机制进行理论分析的基础之上,采用EEMD对1994.1-2014.1的人民币和港元实际有效汇率指数进行分解,对得到的各分量基于其自身特征分别采用Granger因果检验、SVAR模型和状态空间模型进行实证检验,结果发现,不论是高频分量还是低频分量,人民币汇率都是港元汇率变动的Granger原因,反之则不成立。人民币汇率基本可以主导港元汇率的变动,就趋势项而言,人民币对港元的影响经历了先增后减的过程,而港元汇率对人民币汇率的影响却逐渐减弱直至消失。更多还原

【Abstract】 In this paper, based on the theoretical analysis of transmission mechanism between the HK dollar and RMB exchange rate,the ensemble empirical mode decomposition was used to decompose the real effective of Hong Kong dollar and RMB exchange rate index in the frequency on 1994.1-2014.1,according to the frequency and amplitude of fluctuation,it is decomposed into low-frequency component, high-frequency component and trend item further.According to their characteristics,we used Granger causality test,SVAR model and the state space to test the theoretical results,The results showed that regardless of the high frequency component or low frequency component, the RMB exchange rate is the Granger cause of HK exchange rate changes, the RMB exchange rate basically can dominate HK dollar exchange rate,on the trend,the impact of the RMB against the Hong Kong dollar experienced a process of first increased and then decreased, while the effect of Hong Kong dollar to RMB exchange rate gradually weaken and even disappear.更多还原