Inflation expectation is an important variable to affect real inflation and is also the key factor to effective application of monetary policy. State Space Model is constructed under Keynesians hybrid Phillips Curve Theory framework. The seasonal expectation inflation rate during 2001—2013 of China is estimated by Bayesian Gibbs Sampling Estimation Method, and the dynamic influence of China’s inflation expectation on real inflation is further analyzed by VAR Model and Impulsive Response Function. Empirical results show that the suitability feature of China’s seasonal expectation inflation rate is stronger than rational feature, that the suitability expectation shock can exert big impact on real inflation in a short term, and that the accumulative effect disappears after about nine seasons. The results also show that the positive influence of rational expectation shock on real inflation can last relatively longer time and will finally push real inflation to a new high level. Thus, monetary policy should regulate the influence of inflation expectation on real inflation from such two aspects as the decrease of suitability inflation inertia and administrative inflation expectation.