人民币国际化背景下人民币汇率和港元汇率传导机制研究——基于集总平均经验模态分解、SVAR和状态空间模型的分析  

Study on transmission mechanism between HK dollar and RMB exchange rate under the background of RMB internationalization: Based on EEMD,SVAR and State Space Model

作　　者：王晓芳[1] 张娥[1] 

机构地区：[1]西安交通大学经济与金融学院

出　　处：《世界经济研究》2015年第10期13-22,127,共10页World Economy Studies

摘　　要：文章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年1月至2014年1月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,人民币汇率对港元汇率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。In this paper,based on the theoretical analysis of transmission mechanism between 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 from Jan 1994 to Jan 2014,according to the frequency and amplitude of fluctuation,it is further decomposed into low-frequency component,high-frequency component and trend item. According to their characteristics,the paper used Granger causality test,SVAR model and the state space separately 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,while on the long term,the impact of the RMB on the Hong Kong dollar experienced a process of first increasing and then decreasing.

关 键 词：汇率波动 EEMD SVAR 状态空间 

分 类 号：F832.6[经济管理—金融学]