国际清算银行-R_在东亚：商业、金融周期和溢出效应（英）

BIS Working PapersNo 1285 R* in East Asia: business,financial cycles, andspilloversby Pierre L. Siklos, Dora Xia and Hongyi Chen Monetary and Economic Department August 2025 JEL classification: E58, E32, E42, E43, C54 Keywords: China, Japan, Korea, neutral real rate, time series and frequency domain modeling, band spectrum regression, financial cycle BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors 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 be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) R* in East Asia: Business, Financial Cycles, and Spillovers0F1Pierre 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) 1 Part of this work was completed when Siklos was a Research Fellow at the BIS Asia Pacific Representative office. Siklos is grateful for financial support for this project from the BIS. The views expressed in this feature are those of the authors and do not necessarily reflect those of the BIS. We thank our colleagues at the BIS Asia Pacific Representative office for helpful comments. 2 ABSTRACT This paper provides new estimates of the neutral interest rate, or r*, with a frequency domain approach using quarterly data from China, Japan, Korea, and the US. Utilizing band spectrum regressions, we estimate two types of neutral rates, which hold over the business cycle and the financial cycle respectively. To account for uncertainty around estimates of r*, we derive confidence bands via a thick modelling approach. Our estimates share a few common features with existing published estimates. Consistent with prior research, a downward trend in r* is observed, 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 countries examined. For individual countries, our estimates for the two types of r* do not always track each other, suggesting that central banks face trade-off between business versus financial cycle considerations when setting the policy rate. Across countries, we identify significant positive spillovers from the US to the three East Asia countries, as well as spillovers from China to Kora and 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