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

Bin Wang

doi:10.1016/j.econlet.2019.01.011

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 journal › peer-review

Overview

4 Scopus Citations

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Author(s)

Bin Wang

Related Research Unit(s)

City University of Hong Kong

Detail(s)

Original language	English
Pages (from-to)	117-120
Journal / Publication	Economics Letters
Volume	176
Online published	19 Jan 2019
Publication status	Published - Mar 2019

Link(s)

DOI	DOI https://doi.org/10.1016/j.econlet.2019.01.011 Final Published version
	Check@CityULib
Link to Scopus	https://www.scopus.com/record/display.uri?eid=2-s2.0-85060327077&origin=recordpage
Permanent Link	https://scholars.cityu.edu.hk/en/publications/publication(e50bccaa-6974-42b4-8341-cd0fdb5614bb).html

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.