自然利率估算方法文献综述

Literature Review on the Estimation Methods of Natural Rate of Interest

随着我国利率管制的基本放开,货币政策亟需由传统数量调控向以利率为主的价格调控模式转型,自然利率将为中央银行利率决策提供重要依据。本文在简要回顾自然利率理论的基础上,对近十多年国外自然利率估计方法的文献进行了系统梳理。在对单纯时间序列统计计量法、基于金融市场方法和基于经济学模型方法等主要方法进行述评的基础上,指出当前中国自然利率估计研究存在的不足及完善的主要方向。

With the fulfillment of interest rate liberalization reform in China, it is important and urgent to turn to price based monetary policy. As the anchor in the price based monetary policy, the Natural Rate of Interest provides an essential benchmark in the interest control of the central bank. In this article, we present a review on various methods for estimating the natural rate of interest, and introduce the latest developments in the methods of state space model under New Keynesian framework and DSGE model. We also point out the shortcomings of the current research on Chinese natural rate estimation and provide suggestions for future research.