{"title":"韩国的中性利率:估计值、决定因素和货币政策立场","authors":"Kyu Ho Kang , Kyeongtak Do","doi":"10.1016/j.asieco.2024.101732","DOIUrl":null,"url":null,"abstract":"<div><p>A neutral interest rate is a key indicator of the monetary policy stance. This study estimates South Korea’s neutral interest rates and their determinants. Based on the results, we investigate the prior monetary policy patterns of the Bank of Korea (BOK) and evaluate its stance. We adopted a time-series model approach, with a Bayesian econometric strategy. We can summarize the empirical findings as follows. First, the neutral interest rate has continued to fall, and it tends to fall sharply during downturns, such as the global financial crisis and COVID-19 pandemic. Second, the fall over the past two decades is largely attributable to population aging and the neutral US interest rate. Meanwhile, the recent rebound in the neutral interest rate seems to be due to the increase in the net issuance of government bonds. Finally, the BOK responded substantially to aggregate demand shocks over recent decades. In particular, the BOK’s current monetary policy stance is contractionary because of its active response to inflation rather than real activity.</p></div>","PeriodicalId":47583,"journal":{"name":"Journal of Asian Economics","volume":"92 ","pages":"Article 101732"},"PeriodicalIF":2.9000,"publicationDate":"2024-03-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Korea’s neutral interest rate: Estimates, determinants, and monetary policy stance\",\"authors\":\"Kyu Ho Kang , Kyeongtak Do\",\"doi\":\"10.1016/j.asieco.2024.101732\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>A neutral interest rate is a key indicator of the monetary policy stance. This study estimates South Korea’s neutral interest rates and their determinants. Based on the results, we investigate the prior monetary policy patterns of the Bank of Korea (BOK) and evaluate its stance. We adopted a time-series model approach, with a Bayesian econometric strategy. We can summarize the empirical findings as follows. First, the neutral interest rate has continued to fall, and it tends to fall sharply during downturns, such as the global financial crisis and COVID-19 pandemic. Second, the fall over the past two decades is largely attributable to population aging and the neutral US interest rate. Meanwhile, the recent rebound in the neutral interest rate seems to be due to the increase in the net issuance of government bonds. Finally, the BOK responded substantially to aggregate demand shocks over recent decades. In particular, the BOK’s current monetary policy stance is contractionary because of its active response to inflation rather than real activity.</p></div>\",\"PeriodicalId\":47583,\"journal\":{\"name\":\"Journal of Asian Economics\",\"volume\":\"92 \",\"pages\":\"Article 101732\"},\"PeriodicalIF\":2.9000,\"publicationDate\":\"2024-03-06\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Asian Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1049007824000277\",\"RegionNum\":3,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Asian Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1049007824000277","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"ECONOMICS","Score":null,"Total":0}
Korea’s neutral interest rate: Estimates, determinants, and monetary policy stance
A neutral interest rate is a key indicator of the monetary policy stance. This study estimates South Korea’s neutral interest rates and their determinants. Based on the results, we investigate the prior monetary policy patterns of the Bank of Korea (BOK) and evaluate its stance. We adopted a time-series model approach, with a Bayesian econometric strategy. We can summarize the empirical findings as follows. First, the neutral interest rate has continued to fall, and it tends to fall sharply during downturns, such as the global financial crisis and COVID-19 pandemic. Second, the fall over the past two decades is largely attributable to population aging and the neutral US interest rate. Meanwhile, the recent rebound in the neutral interest rate seems to be due to the increase in the net issuance of government bonds. Finally, the BOK responded substantially to aggregate demand shocks over recent decades. In particular, the BOK’s current monetary policy stance is contractionary because of its active response to inflation rather than real activity.
期刊介绍:
The Journal of Asian Economics provides a forum for publication of increasingly growing research in Asian economic studies and a unique forum for continental Asian economic studies with focus on (i) special studies in adaptive innovation paradigms in Asian economic regimes, (ii) studies relative to unique dimensions of Asian economic development paradigm, as they are investigated by researchers, (iii) comparative studies of development paradigms in other developing continents, Latin America and Africa, (iv) the emerging new pattern of comparative advantages between Asian countries and the United States and North America.