汇率双周报 |“冰火两重天”的港币？（申万宏观·赵伟团队）

Core Viewpoint - The recent fluctuations in the Hong Kong dollar (HKD) exchange rate, transitioning from a strong to a weak peg, are influenced by a combination of external capital inflows, liquidity conditions, and market speculation, with potential implications for the local economy and stock market [5][99]. Group 1: Recent Movements in HKD Exchange Rate - The HKD has experienced significant volatility, moving from a strong peg to a weak peg in just 1.3 months, which is unusually rapid compared to historical transitions [6][10]. - The transition occurred despite a weakening US dollar, which typically correlates with a stronger HKD; the HKD depreciated by 1.3% while the USD fell by 1.9% [6][99]. - The 12-month forward exchange rate for HKD briefly dropped below 7.75, indicating potential market concerns about future HKD strength [6][99]. Group 2: Factors Behind the HKD Weakening - The initial trigger for the strong peg was a liquidity shortage due to significant foreign capital inflows, with HK stock connect inflows totaling 638.6 billion HKD and an increase of 5.1 million USD in foreign investments [2][35]. - Major IPOs and substantial dividend payouts in Q2 further exacerbated liquidity constraints, with HK stock fundraising reaching 206.5 billion HKD, the highest since 2021 [2][35]. - The release of liquidity by the Hong Kong Monetary Authority (HKMA) after the strong peg was triggered led to a rapid decline in Hibor rates, with the 3-month SOFR-Hibor spread rising to 2.6% [2][47]. Group 3: Potential Implications of Weak Peg Trigger - If the weak peg is triggered again, the HKMA may not significantly tighten liquidity, as indicated by the HKMA's president, who suggested that lower interest rates could benefit the current economic environment [3][68]. - A relatively low interest rate environment and a weaker HKD could provide some support for the Hong Kong economy and stock market, potentially aiding in stabilizing the housing market [3][90]. - Historical data suggests that even during periods of USD depreciation, the HKD may remain weak if liquidity conditions are not tightened significantly [3][78].