“汇率”观察双周报系列之二：“冰火两重天”的港币？-20250616

Exchange Rate Dynamics - The Hong Kong dollar (HKD) has experienced significant fluctuations, transitioning from the strong-side convertibility guarantee to the weak-side guarantee within just 1.3 months, a notably rapid shift compared to previous instances which took 27.7 and 18.3 months respectively[15][69] - The HKD's depreciation occurred despite a weakening US dollar, which has declined by 1.9% since May 2, while the HKD itself has depreciated by 1.3%[15][69] - The 12-month forward exchange rate for USD/HKD has dropped significantly, falling below 7.75, indicating potential market pressures[15][69] Liquidity and Market Influences - The initial trigger for the strong-side guarantee was a liquidity shortage caused by substantial foreign capital inflows, with HK stock connect inflows totaling 638.6 billion HKD and an increase of 510 million USD in foreign investments tracked by EPFR[31][69] - Following the strong-side guarantee activation, the Hong Kong Monetary Authority (HKMA) injected 129.4 billion HKD into the market, a level of intervention that exceeded historical norms[2][40][69] - The abundant liquidity led to a significant drop in Hibor rates, with the 3-month SOFR-Hibor spread rising to 2.6%, facilitating carry trades that contributed to the HKD's rapid depreciation[2][40][69] Future Implications - If the weak-side guarantee is triggered again, the HKMA is expected to maintain a relatively restrained approach to liquidity tightening, potentially utilizing EFBN to manage market liquidity without drastic measures[3][70] - A lower interest rate environment may benefit the Hong Kong economy, supporting investment activities and providing some relief to the housing market, which has seen a reduction in negative equity to 205.9 billion HKD[3][63][70] - Despite the US dollar's potential for further weakening, the HKD may remain relatively weak if the interest rate differentials continue to be high, as evidenced by the HKD's performance during previous dollar declines[3][70]