东亚地区的R\\*：商业、金融周期和溢出效应

R*in East Asia: business,financial cycles, andspillovers 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 spectrumregression, financial cycle 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 topicalinterest and are technical in character. The views expressed in them are those of theirauthors and not necessarily the views of the BIS. 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 Spillovers0F1 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(HKIMR) 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.Meanwhile, our findings offer novel perspectives on the neutral rate in the four countriesexamined. For individual countries, our estimates for the two types of r* do not always trackeach other, suggesting that central banks face trade-off between business versus financial cycleconsiderations when setting the policy rate. Across countries, we identify significant positivespillovers from the US to the three East Asia countries, as well as spillovers from China to Koraand Japan. Pierre Siklos, WLU & BSIA,psiklos@wlu.ca Dora Xia, BIS,dora.xia@bis.org Hongyi Chen, HKIMR,hchen@hkma.gov.hk JEL Classification codes: E58, E32, E42, E43, C54 Keywords: China, Japan, Korea, neutral real rate, time series and frequency domain modeling,band spectrum regression 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 commonlyused definition of r* is the interest rate that prevails when economic slack is zero and inflation isstable. Observers then ask, by comparing r* with existing policy rates in real terms, whethercurrent monetary conditions are overly accommodative or excessively restrictive. 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* relieson the assumption that rising/falling inflation typically indicates that current interest rates arebelow/above the natural rate. Alternative estimates of r* are obtained from structural DSGEmodels, where r* represents the interest rate that would prevail in a hypothetical economy withflexible prices (e.g., Del Negro et al., 2017, 2019). Some other approaches use reduced-formtime series models, where r* is estimated as a forecast of the future real short-term interest rate(e.g., Lubik and Matthes, 2015 and Morley et al., 2024) or as a long-run average of real short-term interest rate (e.g. Hamilton et al., 2016 and Fiorentini et al., 2018).1F2,2F3 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 andoutput gaps as adequate explanations of the stance of US monetary policy as in a Taylor-typerule, and the pivotal role of U.S. monetary policy in shaping the global economy and financial 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),Grossman et al. (2021), and Adjalala et