Affiliation:
1. Department of Economics and Finance City University of Hong Kong Hong Kong SAR China
2. School of Economics Jinan University Guangzhou China
Abstract
AbstractWe 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.
Funder
Basic and Applied Basic Research Foundation of Guangdong Province
Subject
Economics and Econometrics
Cited by
1 articles.
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