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The natural rate of interest of Hong Kong

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  • Yunlu He
  • Bin Wang

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 USA, has a larger impact on the natural rate of interest of Hong Kong.

Suggested Citation

  • Yunlu He & Bin Wang, 2024. "The natural rate of interest of Hong Kong," Pacific Economic Review, Wiley Blackwell, vol. 29(1), pages 44-54, February.
    • Handle: RePEc:bla:pacecr:v:29:y:2024:i:1:p:44-54
    DOI: 10.1111/1468-0106.12420
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    References listed on IDEAS

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    1. Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019. "Global trends in interest rates," Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
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