This research combined various research methods of time series, including VAR, Granger Causality Test, Analysis of Impulse Response Function and Variance Decomposition to explore the substitution of Renminbi Yuan to Hong Kong Dollar in Hong Kong. Sample period is from February 2004 to June 2013. Research result indicated that the causality didn't exist one-way lead-lag relation between Renminbi Yuan and Hong Kong Dollar. However, the response of Hong Kong Dollar to Renminbi Yuan presented negative response and lasted. Moreover, the empirical result indicated that in terms of the variance of Hong Kong Dollar, Renminbi Yuan had moderate explanatory power.