【報告人簡介】

Robert Kirkby，惠靈頓維多利亞大學宏觀經濟學高級講師，擔任經濟與金融學院本科項目主任。他于2014年獲得馬德里卡洛斯三世大學經濟學博士學位，主要研究方向為宏觀經濟政策分析，重點致力于開發理論與計算工具以優化分析方法。其研究成果發表在Computional Economics、Journal of Real Estate Finance and Economics、Macroeconomic Dynamics、Journal of Macroeconomics 等期刊。

【內容摘要】

We build a small open-economy overlapping-generations model (SOE-OLG) to understand changes in the natural rate of interest in New Zealand between 2000 and 2024. We do this by solving the model for repeated transition paths, with each year producing a new transition path based on agents' evolving expectations about the future. These repeated transition paths form the basis for the realised historical path of the natural rate of interest. We consider seven drivers of the natural rate of interest: the world natural rate of interest, the birth rate, productivity growth, government debt levels, old-age labour force participation, longevity and migration. We find that a lower world natural rate and declines in labour productivity growth have been important factors driving the decline in the natural rate of interest in New Zealand since 2000. The effect of changes in demographic drivers, while important in the long-run equilibrium, only have a modest impact on the natural rate of interest in the transition path. As a first extension we model the amount of inflationary pressure associated with the natural rate of interest along the transition path, to understand how the neutral rate of interest differs from the natural rate of interest. A second extension modifies the baseline model to allow for a premium on the return on private capital relative to the return on government debt. Modelling the premium allows the calibrated model to produce estimates of the natural rate of interest which are at a consistent level with other estimates for New Zealand.

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撰稿：王杰 審核：胡蓉 單位：高等經濟研究院