R_在东亚：商业、金融周期和溢出效应（英）

R*in East Asia: business,financial cycles, and by Pierre L. Siklos, Dora Xia and Hongyi Chen Monetary and Economic Department August 2025 JEL classification: E58, E32, E42, E43, C54Keywords: China, Japan, Korea, neutral real rate, timeseries and frequency domain modeling, band spectrum BISWorking Papers are written by members of the Monetary and EconomicDepartment of the Bank for International Settlements, and from time to time by othereconomists, and are published by the Bank. The papers are on subjects of topical This publication is available on the BIS website (www.bis.org). ©Bank for International Settlements 2025. All rights reserved. Brief excerpts may bereproduced or translated provided the source is stated. R* in East Asia: Business,Financial Cycles, and Spillovers1 Pierre L. Siklos, Wilfrid Laurier University (WLU),Balsillie School of International Affairs (BSIA) Dora Xia, Bank for International Settlements (BIS) and Hongyi Chen, Hong Kong Institute for Monetary and Financial Research ABSTRACT This paper provides new estimates of the neutral interest rate, or r*, with a frequency domainapproach using quarterly data from China, Japan, Korea, and the US. Utilizing band spectrumregressions, we estimate two types of neutral rates, which hold over the business cycle and thefinancial cycle respectively. To account for uncertainty around estimates of r*, we deriveconfidence bands via a thick modelling approach. Our estimates share a few common featureswith existing published estimates. Consistent with prior research, a downward trend in r* isobserved, although the trend becomes less obvious when uncertainty bands are factored in. Pierre Siklos, WLU & BSIA,psiklos@wlu.caDora Xia, BIS,dora.xia@bis.orgHongyi Chen, HKIMR,hchen@hkma.gov.hkJEL Classification codes: E58, E32, E42, E43, C54Keywords: China, Japan, Korea, neutral real rate, time series and frequency domain modeling, 1.Introduction Evaluating the stance of monetary policy continues to be a heavily debated question, especiallygiven the extraordinary global rise and fall in inflation since 2021. In recent years, thediscussion has centered around the concept of the neutral real interest rate, or r*. A commonly The neutral rate of interest, or r*, is inherently unobservable as it is a hypothetical concept.Consequently, it must be inferred through estimation. Many estimates of r* are derived fromsemi-structural models, such as those pioneered by Laubach and Williams (2003) and laterextended by Holston et al. (2016, 2023). The Laubach-Williams model is a linearized NewKeynesian framework that incorporates an IS curve, which links the output gap to real interestrates, and a Phillips curve, which connects the output gap to inflation. The estimation of r* relies Existing estimates of r* predominantly focus on the US. This emphasis is driven by severalfactors: the availability of a long span of data, the well-established role of the inflation and markets. For r* estimates in other advanced economies or the global economy, methodologiesare often heavily influenced by the U.S. experience. Examples include Wynne and Zhang (2018), Fewer estimates of r* for other regions of the world, including East Asia, are available. Chen andSiklos (2024) provide an overview of efforts to estimate r* for China, which largely follow theframework established by Laubach and Williams (2003). Similarly, studies on r* for Japan and Nevertheless, the U.S. approach may not be directly applicable to East Asian countries. As openeconomies, the interaction between monetary policy and economic developments in thesecountries is not adequately captured by the semi-structural models designed for the US.Specifically, factors such as exchange rates and capital flows—both highly sensitive to external Moreover, the existing methodology primarily focuses on the interest rate that stabilizes theeconomy at the business cycle frequency, based on the definition of r* as the rate that alignsoutput and inflation with their potential levels. However, recent recessions triggered by financialcrises have prompted policymakers to consider not only the stabilization of the business cyclebut also that of the financial cycle (see, for example, Danthine (2012)). Over the past few years, often falls to macroprudential policies rather than monetary policies, it remains important to user* at the financial cycle frequency as a benchmark to understand the role monetary policy playsin shaping the development of financial cycles. There has been research examining r* from asimilar perspective. For instance, De Fiore and Tristani (2011) analyze r* within a structuralmodel for the US incorporating financial frictions and demonstrate that r* responds differently toshocks in economies with and without such frictions. Similarly, Akinci et al. (2020) estimate r*for financial stability, which they term r**, using a structural model for the US. Their frameworkmodels banks with leverage constraints that t