Measuring the natural rate of interest of China: A time varying perspective
Bin Wang ()
Economics Letters, 2019, vol. 176, issue C, 117-120
I propose the 5-year forecast of ex ante real interest rate in the time varying parameter vector autoregression model with stochastic volatility as a measure of the natural rate of interest of China. The natural rate of China varied around 1.6% before 2010 when the 4 trillion RMB stimulus ended, and then exhibited an obvious descending trend from around 1.8% to recent 0.4%. This is similar to the descending trend found in the studies of advanced economies.
Keywords: Natural rate of interest; TVP-VAR-SV; China (search for similar items in EconPapers)
JEL-codes: C11 C32 E43 E52 (search for similar items in EconPapers)
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