| 实施紧密经贸活动下的人民币与港元互动分析 |
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| 引用本文： | 祝金甫,刘寅.实施紧密经贸活动下的人民币与港元互动分析[J].财经理论与实践,2009,30(5). |
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| 作者姓名： | 祝金甫 刘寅 |
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| 作者单位： | 北京工商大学,经济学院,北京,100037 |
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| 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Johnsen协整检验和Granger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.
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| 关 键 词： | 经济危机 金融危机 协整检验 Granger检验 |
CEPA and the Interrelationship between CNY and HKD |
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| ZHU Jin-fu,LIU Yin.CEPA and the Interrelationship between CNY and HKD[J].The Theory and Practice of Finance and Economics,2009,30(5). |
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| Authors: | ZHU Jin-fu LIU Yin |
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| Institution: | ZHU Jin-fu,LIU Yin (School of Economics,Beijing Technology , Business University,Beijing 100037,China) |
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| Abstract: | 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 mainland China and Hong Kong SAR has been significantly reinforced. |
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| Keywords: | Economic Crisis Financial Crisis Cointegration Test Granger Cause Test |
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