A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt

• 成果类型: Article
• 署名作者: Christensen, Jens H. E.; Rudebusch, Glenn D.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_00821
• 发表日期: 2019-12
• 页码: 933-949
• 关键词: monetary-policy; natural rate; yield curve; real; demographics; liquidity

摘要

The downtrend in U.S. interest rates over the past two decades may partly reflect a decline in the longer-run equilibrium real rate of interest. We examine this issue using dynamic term structure models that account for time-varying term and liquidity risk premiums and are estimated directly from prices of individual inflation-indexed bonds. Our finance-based approach avoids two potential pitfalls of previous macroeconomic analyses: structural breaks at the zero lower bound and misspecification of output and inflation dynamics. We estimate that the longer-run equilibrium real rate has fallen about 2 percentage points and appears unlikely to rise quickly.