货币理论与货币政策中的自然利率及其估算

The Natural Interest Rate in Monetary Theory and Monetary Policy:An Estimation

本文详细分析了自然利率在货币理论和政策中的重要意义,从理论上说明了新魏克赛尔框架下自然利率的具体含义,并构建状态空间模型对中国的自然利率进行了估算。结果表明,样本期内中国自然利率均值约为2.5%左右,与中国资本回报率的典型性事实相符;自然利率是与货币政策框架无关并源于实体经济的变量,可作为经济增长的先行指标,为货币政策的制定和评估提供重要依据;中国自然利率主要取决于技术进步和人口增速,随着劳动力人口的逐步下降,未来中国自然利率将在较高水平呈现温和下降态势,这对今后顺利推进货币调控模式转型、成功开展利率决策和新常态下经济的长远健康发展具有非常重要的意义。

The accelerating pace of interest rate liberalization in China makes it a significant and urgent issue to turn towards a price-based monetary policy. The estimation of natural interest rate （NIR） plays an essential role in the decision making of monetary policies, the exploration of Chinese Taylor rule, and the transformation towards price-based monetary policy. In this article, we conduct comprehensive analysis of NIR in monetary theory and policy, and investigate NIR in the neo-Wicksellian monetary theory. We construct a state space model to estimate the NIR of China. The results show that the NIR is 2. 5% on average, which is consistent with the typical empirical results of return of capital in China. The NIR is a real economic variable independent of the monetary framework. It is a leading indicator to GDP growth, and is critical in making and evaluating monetary policy. Meanwhile, the NIR is determined by the growth of technology and labor. Given the falling trend of population growth, the NIR will decrease moderately in the future, which will ensure the success of the price-based monetary policy reform and a long-run healthy development of economy and financial market.