This website uses cookies.

By clicking the "Accept" button or continuing to browse our site, you agree to first-party and session-only cookies being stored on your device to enhance site navigation and analyze site performance and traffic. For more information on our use of cookies, please see our Privacy Policy.

  1. Home
  2. ASSA Annual Meeting
  3. 2026
  4. Program
  5. Issues in Asian Central Banking
« Back to Results

Issues in Asian Central Banking

Paper Session

Sunday, Jan. 4, 2026 2:30 PM - 4:30 PM (EST)

Philadelphia Marriott Downtown, Room 401
Hosted By: American Committee on Asian Economic Studies & American Economic Association
  • Chair: Calla Wiemer, American Committee on Asian Economic Studies

R* in East Asia: Business, Financial Cycles, and Spillovers

Pierre L. Siklos
,
Wilfrid Laurier University
Dora Xia
,
Bank for International Settlements
Hongyi Chen
,
Hong Kong Institute for Monetary and Financial Research

Abstract

This paper provides new estimates of the neutral policy 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 versions of the neutral rate that 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 modeling approach. Our estimates share 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 policy rate in the four countries. For individual countries, our estimates suggest that central banks face a 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.

Spatially Targeted Loan-to-Value Policies, Housing Prices, and Residential Choice in Taiwan

Hung-Ju Chen
,
National Taiwan University
Shiou-Yen Chu
,
National Chengchi University

Abstract

This paper develops a multi-sector New Keynesian dynamic stochastic general equilibrium (DSGE) model with heterogeneous agents and two regions to examine the cross-region effects of spatially targeted loan-to-value (LTV) and property tax policies on housing markets. We endogenize the location choice of residence by allowing agents to choose the place of residence. By using Bayesian methods applied to Taiwanese quarterly data from 2010Q1 to 2019Q4 to estimate the model, we find that under a canonical Taylor rule, both spatially targeted LTV and property tax policies induce borrowers to migrate from the urban area to the rural area, causing a decrease in urban housing prices and an increase in rural housing prices. Moreover, total urban housing consumption rises and rural housing consumption declines. Wage and labor hours increase (decrease) in the urban (rural) area. We also show that the effectiveness of a policy that lowers the urban LTV maximum limit to suppress urban housing prices depends on the accompanying interest rate rules and households’ ability to move across regions. If the central bank implements a constant-interest-rate rule or an augmented Taylor rule that incorporates housing inflation, reducing the urban LTV ratio does not moderate urban housing prices or move rural housing prices. If the fraction of urban borrowers residing in the urban area is constant, urban LTV shocks cause negligible effects on housing prices and consumption in both regions.

Monetary Transmission in Asian Economies: Evidence from High-Frequency Identification

Abhishek Kumar
,
University of Southampton

Abstract

This paper proposes a novel high-frequency identification (HFI) strategy to measure monetary policy surprises in eight Asian economies – three advanced and five emerging – using changes in forward discounts implied by covered interest parity (CIP). Exploiting a narrow two-day window around monetary policy announcements and assuming stability in U.S. interest rates and CIP deviations, we isolate domestic monetary shocks. We validate this methodology and show that the resulting surprise measures are consistent with benchmark HFI estimates from the U.S., U.K., and India. Monetary tightening generates a persistent increase in short-term interest rates, but equity markets respond negatively, indicating limited evidence of central bank information effects. Unlike in advanced economies, monetary tightening in these countries leads to broad-based currency depreciation – both nominal and real – raising inflation through higher import costs. This indirect exchange rate channel accounts for the observed price puzzle and highlights the complex trade-offs facing central banks in emerging markets in managing inflation through interest rate policy.

Short-Rate Disconnects and Monetary Transmission in the Philippines

Margarita Debuque-Gonzales
,
Bangko Sentral ng Pilipinas

Abstract

Short-term market rates in emerging markets often diverge from the policy rate. This paper models the short-rate disconnect as arising from balance-sheet segmentation between domestic and foreign institutions: domestic banks face liquidity thresholds, while foreign investors are constrained by balance-sheet capacity. These frictions generate two pricing regimes—risk-on and risk-off—with state-dependent monetary transmission. Empirical results based on Philippine data (2005-2024) confirm that foreign funding capacity and global risk conditions shape the disconnect’s persistence, while structural reforms such as interest-rate corridors reduce its level and volatility. State-dependent impulse responses show weaker inflation and output effects but stronger exchange-rate reactions in risk-on periods. The findings highlight how segmented balance sheets, rather than market inefficiency, drive policy-rate deviations in open economies.

Discussant(s)
Aparna Anand
,
Columbia University
Wenli Li
,
Federal Reserve Bank of Philadelphia
Povilas Lastauskas
,
International Monetary Fund
David Altig
,
Federal Reserve Bank of Atlanta
JEL Classifications
  • E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit
  • F4 - Macroeconomic Aspects of International Trade and Finance