Measuring the Natural Rate of Interest with Financial Gaps: The Cases of Japan and South Korea

Dong Jin Lee; Joon Ho Hahm; Hail Park; Ki Young Park

doi:10.1016/j.japwor.2020.101009

Measuring the Natural Rate of Interest with Financial Gaps: The Cases of Japan and South Korea

Dong Jin Lee, Joon Ho Hahm, Hail Park, Ki Young Park

Department of Economics

Research output: Contribution to journal › Article › peer-review

Abstract

We estimate “finance-adjusted” trend growth and natural rates of Japan and South Korea by extending a semi-structural model of (Laubach and Williams, 2003). Consistent with international evidence of the advanced economies, both trend growth and natural rates of interest of Japan and South Korea have been declining over the past, suggesting the important role of global factors. However, the declining patterns of Japan and South Korea are far steeper during the past 25 years. When considering domestic and global financial factors, trend growth and natural rate of South Korea are more affected by foreign financial factor while the role of domestic financial factor is more pronounced for Japanese economy.

Original language	English
Article number	101009
Journal	Japan and the World Economy
Volume	54
DOIs	https://doi.org/10.1016/j.japwor.2020.101009
Publication status	Published - 2020 Jun

Bibliographical note

Publisher Copyright:
© 2020 Elsevier B.V.

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics
Political Science and International Relations

Access to Document

10.1016/j.japwor.2020.101009

Fingerprint Dive into the research topics of 'Measuring the Natural Rate of Interest with Financial Gaps: The Cases of Japan and South Korea'. Together they form a unique fingerprint.

Cite this

@article{b05c31fffdf74ed78405ec145b56a1e4,

title = "Measuring the Natural Rate of Interest with Financial Gaps: The Cases of Japan and South Korea",

abstract = "We estimate “finance-adjusted” trend growth and natural rates of Japan and South Korea by extending a semi-structural model of (Laubach and Williams, 2003). Consistent with international evidence of the advanced economies, both trend growth and natural rates of interest of Japan and South Korea have been declining over the past, suggesting the important role of global factors. However, the declining patterns of Japan and South Korea are far steeper during the past 25 years. When considering domestic and global financial factors, trend growth and natural rate of South Korea are more affected by foreign financial factor while the role of domestic financial factor is more pronounced for Japanese economy.",

author = "Lee, {Dong Jin} and Hahm, {Joon Ho} and Hail Park and Park, {Ki Young}",

note = "Publisher Copyright: {\textcopyright} 2020 Elsevier B.V.",

year = "2020",

month = jun,

doi = "10.1016/j.japwor.2020.101009",

language = "English",

volume = "54",

journal = "Japan and the World Economy",

issn = "0922-1425",

publisher = "Elsevier",

}

TY - JOUR

T1 - Measuring the Natural Rate of Interest with Financial Gaps

T2 - The Cases of Japan and South Korea

AU - Lee, Dong Jin

AU - Hahm, Joon Ho

AU - Park, Hail

AU - Park, Ki Young

PY - 2020/6

Y1 - 2020/6

N2 - We estimate “finance-adjusted” trend growth and natural rates of Japan and South Korea by extending a semi-structural model of (Laubach and Williams, 2003). Consistent with international evidence of the advanced economies, both trend growth and natural rates of interest of Japan and South Korea have been declining over the past, suggesting the important role of global factors. However, the declining patterns of Japan and South Korea are far steeper during the past 25 years. When considering domestic and global financial factors, trend growth and natural rate of South Korea are more affected by foreign financial factor while the role of domestic financial factor is more pronounced for Japanese economy.

AB - We estimate “finance-adjusted” trend growth and natural rates of Japan and South Korea by extending a semi-structural model of (Laubach and Williams, 2003). Consistent with international evidence of the advanced economies, both trend growth and natural rates of interest of Japan and South Korea have been declining over the past, suggesting the important role of global factors. However, the declining patterns of Japan and South Korea are far steeper during the past 25 years. When considering domestic and global financial factors, trend growth and natural rate of South Korea are more affected by foreign financial factor while the role of domestic financial factor is more pronounced for Japanese economy.

UR - http://www.scopus.com/inward/record.url?scp=85083340052&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85083340052&partnerID=8YFLogxK

U2 - 10.1016/j.japwor.2020.101009

DO - 10.1016/j.japwor.2020.101009

M3 - Article

AN - SCOPUS:85083340052

VL - 54

JO - Japan and the World Economy

JF - Japan and the World Economy

SN - 0922-1425

M1 - 101009

ER -

Measuring the Natural Rate of Interest with Financial Gaps: The Cases of Japan and South Korea

Abstract

Bibliographical note

All Science Journal Classification (ASJC) codes

Access to Document

Other files and links

Cite this