关键词: 实际利率, 自然利率, 通胀预期, 实际风险溢价

Abstract: Based on the time series characteristics and empirical fitting of inflation and real output growth in China, the paper conducts a complete statistical measure on the real interest rates for a long time, and compares them with those in deterministic scenarios. Then it discusses the valuation deviation, especially the level, structure and incentive of underestimation. At the same time, it explains the change rules from the perspectives of inflation and output. It concludes that the real interest rates will inevitably be underestimated in deterministic scenarios under the state of low growth and high inflation. Even under low growth and low inflation, if the deviation between expected inflation and actual inflation is lower than its uncertain risk compensation effect, the real interest rates will still tend to be underestimated, which is the reason for the prevailing underestimation of the real interest rates in the recent time. Moreover, from the explanation direction of real interest rate valuation deviation caused by inflation and output, the time point ratio of the same direction and opposite direction is about 4:6 and that dominated by the two is about 6:4, which highlights the important role of real risk premium (related to output and its changes) in the real interest rate valuation. The paper also discusses whether it’s necessary to cut nominal interest rate and the space for reducing it based on the possible macroeconomic status in the future, and how to guide or reduce real interest rate. It’s expected to provide some useful enlightenments for relevant policy discussions.

Key words: Real Interest Rate, Natural Interest Rate, Inflation Expectation, Real Risk Premium