Measuring the Natural Rate of Interest Rates and Its Implications for Macroeconomic Policies

自然利率通常被定义为对经济是中性的、不会引起价格变化的利率。市场上观察到的实际利率与自然利率之间的偏差代表了货币政策立场的一种衡量标准。本研究对日本自然利率的测算及其对宏观经济政策的影响进行了比较实证分析。回顾了理论概念，讨论了近几年零利率的下限，并对基于过滤和基于生产函数方法的几种序列进行了估计和比较。从政策反应函数的角度对关联性进行了评价。结果表明，用基于生产函数的方法估计的序列是最相关和最合理的。

The natural rate of interest is generally defined as the interest rate which is neutral to the economy and does not cause changes in prices. The deviation between real interest rates observed in the market and the natural rate represents a measure of stance of monetary policy. This research makes a comparative empirical analysis on measuring the natural rate of interest in Japan and its implications for macroeconomic policies. Reviewing theoretical concepts and discussing the zero interest rate bound in recent years, we estimate and compare several series based on filtering-based and production function-based approaches. The relevance is evaluated from the view point of policy reaction function. It is found that the estimated series using production-function based approach is most relevant and sensible.