Measuring the natural rate of interest of China : A time varying perspective

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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Author(s)

  • Bin Wang

Related Research Unit(s)

Detail(s)

Original languageEnglish
Pages (from-to)117-120
Journal / PublicationEconomics Letters
Volume176
Online published19 Jan 2019
Publication statusPublished - Mar 2019

Abstract

I propose the 5-year forecast of ex ante real interest rate in the time varying parameter vector autoregression model with stochastic volatility as a measure of the natural rate of interest of China. The natural rate of China varied around 1.6% before 2010 when the 4 trillion RMB stimulus ended, and then exhibited an obvious descending trend from around 1.8% to recent 0.4%. This is similar to the descending trend found in the studies of advanced economies.

Research Area(s)

  • China, Natural rate of interest, TVP-VAR-SV

Citation Format(s)

Measuring the natural rate of interest of China: A time varying perspective. / Wang, Bin.
In: Economics Letters, Vol. 176, 03.2019, p. 117-120.

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review