{"title":"香港的自然利率","authors":"Yunlu He, Bin Wang","doi":"10.2139/ssrn.3925445","DOIUrl":null,"url":null,"abstract":"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 US, has a larger impact on the natural rate of interest of Hong Kong.","PeriodicalId":155479,"journal":{"name":"Econometric Modeling: Macroeconomics eJournal","volume":"309 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2023-04-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The Natural Rate of Interest of Hong Kong\",\"authors\":\"Yunlu He, Bin Wang\",\"doi\":\"10.2139/ssrn.3925445\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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 US, has a larger impact on the natural rate of interest of Hong Kong.\",\"PeriodicalId\":155479,\"journal\":{\"name\":\"Econometric Modeling: Macroeconomics eJournal\",\"volume\":\"309 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-04-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Econometric Modeling: Macroeconomics eJournal\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.3925445\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Econometric Modeling: Macroeconomics eJournal","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.3925445","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
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 US, has a larger impact on the natural rate of interest of Hong Kong.
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