The natural rate of interest of Hong Kong

The natural rate of interest of Hong Kong

We measure the natural rate of interest of Hong Kong in a flexible VAR model. We find that the natural rate of interest of Hong Kong fell below zero after the SARS shock in 2003 and reached the lowest after the great recession in 2007–2009. Variance decomposition shows that mainland China, instead o...

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Veröffentlicht in:Pacific economic review (Oxford, England) England), 2024-02, Vol.29 (1), p.44-54
Hauptverfasser: He, Yunlu, Wang, Bin
Format: Artikel
Sprache:eng
Schlagworte:
Economic analysis
Interest rates
Stochastic models
Variance analysis
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Zusammenfassung:We measure the natural rate of interest of Hong Kong in a flexible VAR model. We find that the natural rate of interest of Hong Kong fell below zero after the SARS shock in 2003 and reached the lowest after the great recession in 2007–2009. Variance decomposition shows that mainland China, instead of the USA, has a larger impact on the natural rate of interest of Hong Kong.
ISSN:1361-374X
1468-0106
DOI:10.1111/1468-0106.12420