Study On The Measurement Of Natural Rates Of Interest And The Impact Factors Of Natural Rates Of Interest

In recent years,with the constant change of domestic and international economic and financial situation,it has strengthened the necessity and urgency of the monetary policy framework transforming from quantitative to price.The Central Economic Work Conference held at the end of 2021 called for "comprehensively implementing the new development concept,accelerating the construction of a new development pattern,comprehensively deepening reform and opening up,persisting in innovation-driven development,promoting high-quality development,and persisting in supply-side structural reform as the main line".Among them,interest rate liberalization reform is one of the important tasks of comprehensively deepening reform.It is particularly important to accurately estimate the natural rate of interest and provide a reliable interest rate anchor for price based monetary regulation to formulate monetary policy,promote the transformation of monetary policy to price based monetary policy and deepen the reform of interest rate liberalization.Taking natural rate of interest as the starting point,this paper studies the calculation of natural rate of interest and its influencing factors under the macro-economic model,term structure model of interest rate and classical econometric model.This paper will be discussed in the following aspects:Firstly,the natural rate of interest is calculated under the framework of macrofinancial consistency.We estimate China’s natural rate of interest using financial model and macro-semi-structural model respectively and find that there is a significant natural interest rate puzzle in China.The natural interest rate puzzle of China’s is solved by constructing a consistent macro-financial model and estimating the natural rate of interest together with macroeconomic variables and yield curve information.Through further empirical tests,it is found that the macro-consistent natural rate of interest is an important factor of bond yield pricing,and the information of natural rate of interest is very important to understand the change of yield curve.Then the short-term factors affecting the natural rate of interest are analyzed.The first short-term influence examined is the financial cycle.Based on the framework of Krustev(2018),this paper adds financial cycle factor into the estimation of natural rate of interest,constructs a state-space model,estimates China’s natural rate of interest,and investigates the impact of financial imbalance on natural rate of interest.It is found that the financial cycle factors have a significant impact on the natural rate of interest,which is characterized by financial leverage and deleveraging,and the natural rate of interest will deviate from its long-term trend.By analyzing the output gap estimation results,it is found that the output gap is significantly affected by the financial cycle.The higher the financial leverage ratio is,the larger the output gap is and the lower the corresponding trend output is.At the same time,the natural rate of interest is significantly affected by risk premium and policy uncertainty,but the impact of global savings on China’s natural rate of interest is not significant.The second short-term influence examined in this paper is the safety premium.As the worlds developed economies generally enter the era of negative interest rat es,the shortage of safe assets becomes increasingly serious,and RMB assets are more and more widely regarded as safe assets.It is of profound significance to measure the safety premium of China’s national debt and its impact on natural rate of interests.First,the non-arbitrage affine Nelson-Siegel model with risk factors is used to estimate the safety premium in Chinese government bonds,and the events affecting the safety premium in different periods are analyzed.By using the estimated safety premium,an extended Laubach and Williams(2003)model was constructed to analyze the impact of the safety premium on the natural rate of interest.The results show that before 2016,when the global economic and financial environment deteriorates and uncertainties increase,There is a significant temporary safety premium for China’s Treasury bonds,and a significant long-term safety premium after 2016.In addition,the safety premium has a significant negative influence on the natural rate of interest,and the influence coefficient is close to-1.Finally,it is found that global shock events,domestic measures to deepen the opening to the outside world and the measures to promote the internationalization of RMB have a positive impact on the safety premium and a negative impact on the natural rate of interest.The following two chapters study the impact of long-term factors on the natural rate of interest,the first of which is demographic change.Based on 1978-2100,issued by the United Nations of the worlds populat ion forecast data,reference Papetti(2019)framework,through biochemical variables of labor and all credit union pension system combined with China,building contains family,vendors,government departments,period of more than two periods and OLG model,study the influence of China’s population structure change on the natural rate.It is found that demographic changes have a long-term dynamic effect on natural rate of interests.The effect of population aging on natural rate of interest is reflected in the comprehensive effect of four influencing channels: labor growth rate,total population growth rate,pension and population policy adjustment.Then it also analyzes the impact of income inequality on the natural rate of interest,and the impact of tax policy on after-tax income inequality and the natural rate of interest.Assuming that wealthy families have "preference" capital utility function,competition and monopoly enterprises,can undertake capital investment,labor income instead of rich families can only consumption and borrow funds from wealthy families,so as to build contains rich families and rich families,vendors,monopolistic competition the heterogeneity of the three department of the government dynamic stochastic general equilibrium model.This paper first studies the impact of one-off exogenous shock on the natural rate of interest and other macroeconomic variables,and then simulates the impact of China’s income inequality on the natural rate of interest through the actual data of income inequality in China.Then,the influence of tax reduction policy on income redistribution,after-tax income inequality,natural rate of interest and other macroeconomic variables is studied.This study finds that China’s aging population and rising income inequality are long-term factors that have depressed the long-term trend of natural rate of interests.In addition,the impact of financial deleveraging and rising global demand for RMB safe assets in recent years has led to increasing downward pressure on natural rate of interests.Based on these results,this paper provides targeted policy recommendations.