中国自然利率水平测算与影响因素分析  

Estimation and Analysis of China's Natural Interest Rate

作　　者：姚翔[1] 张伟进[2] 王凤旺 YAO Xiang;ZHANG Weijin;WANG Fengwang(People's Bank of China,Beijing,100800,China;School of Management,Xi'an Jiaotong University,Xi'an,710049,China;Jinhe Center for Economic Research,Xi'an Jiaotong University,Xi'an,710049,China)

机构地区：[1]中国人民银行 [2]西安交通大学管理学院 [3]西安交通大学金禾经济研究中心

出　　处：《金融评论》2019年第1期15-29,123,共16页Chinese Review of Financial Studies

摘　　要：基于2000年至2017年六组宏观经济变量的季度数据,本文构建了一个具有永久性趋势冲击和风险偏好冲击的动态随机一般均衡模型,测算不可直接观测的自然利率水平,并分析造成其变化的驱动因素。由贝叶斯估计得到的本文模型可以很好地匹配中国经济体系的数据特性,并得到以下主要研究结论:(1)中国自然利率水平样本期间均值约为1%,波动区间为±8%,2008年之后均值为2. 08%,并未像一些发达经济体那样出现显著下降趋势;(2)造成自然利率波动的首要因素是家庭风险偏好改变,其次是生产技术水平和投资技术水平变化;(3)家庭风险偏好上升和宽松政策成为2011年至2014年期间高位自然利率水平的推动力量,生产技术和投资技术进步趋缓成为2015年之后自然利率水平下降的助推因素。A dynamic stochastic general equilibrium(DSGE)model with permanent trend shocks and risk preference shocks is developed in the paper based on quarterly data of 6 macroeconomic parameters from 2000 to 2017.With the model,natural interest rate(NIR)which could not be observed directly is measured and driving factors which matter to its fluctuation are identified.The model is estimated and simulated with Bayesian method and the results well match the Chinese economic data.Some conclusions can be drawn in the paper.Firstly,the average NIR of China is around 1%and fluctuates within±8%during the sample period,and NIR is up to 2.08%after 2008.The dramatic decline of NIR that happens in some developed countries is not observed in China.Secondly,the primary factor driving the fluctuation of NIR is the varying risk appetite of household,the changing of production technology and investment technology are also important driving factors.Thirdly,the increasing of risk appetite of household and policy easing are the main forces pushing the raising of NIR from 2011 to 2014,and the NIR decreasing after 2015 is mainly caused by the slowing down of production technology and investment technology improvement.

关 键 词：自然利率 货币政策 动态随机一般均衡模型 

分 类 号：C51[社会学] E12[军事—军事理论]