中国的自然利率有多高——基于DSGE模型的再估算

Estimating the Natural Interest Rate in China: Based on DSGE Model

利用中等规模DSGE模型和贝叶斯估计技术,估算20世纪90年代以来中国的自然产出和自然利率水平。结果表明,2008年全球金融危机以后,中国的自然利率呈现明显的下降趋势。这确认了中国实际利率和企业融资成本过高的判断,在中国货币政策操作框架快速向利率调控过渡的背景下,可以为中央银行确定政策利率基准水平提供一定的参考。

This paper uses a medium- scale DSGE model of Smets and Wouters to estimate natural interest rate and natural output since 1990s＇ in China. The result shows that natural interest rate in China has been steadily declined since the 2008 global financial crisis. The research confirms the argument that the actual interest rate and the financing cost are too high for enterprises. Besides,the estimation provides the central bank the benchmark level of policy rate,as China＇s monetary policy regime is moving actively to interest rate manipulation.