摘要
本文研究了亚太地区均衡实际利率(自然利率或中性利率)的演变。实证估算结果显示,除中国和泰国外,亚太地区经济体的自然利率自20世纪90年代早期或中期开始大幅下降,平均降幅超过4个百分点。本世纪初,尤其是全球金融危机爆发后,下降趋势进一步加大。本文还使用频域法检验了实际利率的长期构成要素和人口结构、全球化、宏观经济金融指标之间的关系。检验结果显示,亚太区的自然利率与人口结构及全球性因素的低频趋势项具有较强的关联关系,但与资产价格趋势、信用占GDP的比例及经济增长趋势的关联关系较弱,大多数国家的自然利率与金融长期发展、以及储蓄率和投资率的趋势项相关。
This paper studies the evolution of the equilibrium real interest rate,also known as the natural or neutral interest rate,in Asia-Pacific.Simple estimates based on a statistical approach suggest that except for China,and Thailand since 2005,the natural interest rate may have declined substantially in Asian-Pacific economies since the early or mid-1990 s,by over 4 percentage points on average.In many economies the rate has turned negative.The tendency has become more accentuated in the 2000 s,especially since the onset of the global financial crisis.The natural interest rate appears to vary significantly over time and across economies.Nevertheless,simple natural interest rate estimates are unreliable,and large uncertainties and sizeable heterogeneity in the estimates of the equilibrium real interest rate call for caution as well as monetary policy rules which are robust to such uncertainties.
出处
《金融监管研究》
2016年第7期33-53,共21页
Financial Regulation Research
关键词
资产价格
信贷
人口结构
均衡实际利率
频域法
全球化
增长趋势
Asset Price
Credit
Demography
Equilibrium Real Interest Rates
Frequency Domain Methods
Globalisation
Natural Interest Rates
Population Ageing
Trend Growth
