中文摘要：

以自然利率作为研究对象，通过构建状态空间模型，利用Kalman滤波法对中国自然利率进行估测，结果发现其走势大致呈现先下降后上升的趋势变动；进一步通过回归分析、Granger因果检验和VAR模型对中国自然利率与产出缺口、未来通货膨胀率以及货币政策宽松度的关系进行检验，发现产出缺口是自然利率变动的Granger原因，与其呈现微弱的负相关关系，同时与未来的通货膨胀率也呈负相关关系；通过对自然利率的估测能够有效地反映未来通货膨胀的走势和货币政策的相对松紧程度，为未来货币政策的制定与实施提供一个稳定预期的变量，提升宏观经济调控的科学性和有效性。

英文摘要：

In this thesis,we gave a forecast of the natural real interest rate in China by building a state space model and the Kalman filter. We found that the natural real interest rate has been going up and down in recent years. Then, with the Regression analysis, Grang- er causality test and VAR model,we tested the relationship of the natural real interest rate, the output gap, inflation and the monetary policy implications, we found that the output gap was the granger causality of the natural real interest rate and showed weak negative correla- tion,meanwhile, the output gap had a weak negative correlation with the future inflation. By the estimating of the natural real interest rate,we can be able to evaluate the trend of future inflation and the tightness of monetary policy effectively, which is helpful when making and implementin~ some new monetary policies in the future.