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

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journalpeer-review

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  • Bin Wang

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


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