The natural rate of interest of Hong Kong

Yunlu He and Bin Wang

Pacific Economic Review, 2024, vol. 29, issue 1, 44-54

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.

Date: 2024
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https://doi.org/10.1111/1468-0106.12420

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