Abstract: The article first estimates and analyzes the term structure model of shadow interest rates, and then obtains a new policy interest rate based on this model to measure monetary policy trends. Finally, the policy interest rate is used to analyze the impact of monetary policy on macroeconomic conditions. The research results indicate that the response of macroeconomic conditions to policy interest rate shocks based on the shadow interest rate model provides a new perspective for quantitative analysis of monetary policy effects. Therefore, when formulating monetary policy, the central bank should not only focus on the surface actual interest rate values, but also pay attention to the fluctuation of potential shadow interest rate values in order to achieve the expected policy goals.

Keywords: shadow interest rate; Interest rate term structure model; Monetary policy;