汇率双周报 |“冰火两重天”的港币？（申万宏观·赵伟团队）

Group 1 - The recent volatility of the Hong Kong dollar (HKD) has been significant, with a rapid transition from the strong-side convertibility guarantee to the weak-side guarantee occurring in just 1.3 months, which is unusually fast compared to historical instances [1][6][99] - The HKD's depreciation occurred despite a weakening US dollar, which is atypical as previous transitions to the weak-side guarantee usually happened during a strong dollar period [2][6][99] - The 12-month forward exchange rate for HKD briefly fell below 7.75, indicating potential arbitrage opportunities if the weak-side guarantee is triggered [1][6][99] Group 2 - The initial trigger for the strong-side guarantee in early May was due to a liquidity shortage caused by significant foreign capital inflows, large dividends from Hong Kong stocks, and a surge in fundraising activities [2][35][99] - Since the beginning of the year, cumulative inflows through the Stock Connect have reached 638.6 billion HKD, and foreign capital tracked by EPFR has increased by 5.1 million USD [2][35][99] - The recent approach to the weak-side guarantee is primarily driven by market carry trades following a substantial liquidity release, with the Hong Kong Monetary Authority (HKMA) injecting 129.4 billion HKD into the market [2][47][99] Group 3 - If the weak-side guarantee is triggered again, the HKMA is expected to maintain a relatively restrained approach to tightening HKD liquidity, potentially through the issuance of Exchange Fund Bills and Notes (EFBN) [3][68][100] - The current low interest rate environment may benefit the Hong Kong economy, as lower rates could stimulate investment and support the housing market [3][68][90] - Historical data suggests that a weaker HKD and lower interest rates could positively impact the Hong Kong stock market, as seen in previous periods of similar conditions [3][68][90]