Why have interest rates fallen far below the return on capital?

• 成果类型: Article
• 署名作者: Marx, Magali; Mojon, Benoit; Velde, Francois R.
• 署名单位: European Central Bank; Bank of France; Bank for International Settlements (BIS); Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2021.09.008
• 发表日期: 2021
• 页码: S57-S76
• 关键词: risk-free rate; Return on capital; Secular stagnation

摘要

Interest rates have been falling since the mid-1980s while the return on capital has not. In a calibrated OLG model with recursive preferences encompassing many of the usual suspects cited in the debate on secular stagnation, we find that lower trend growth accounts for the trends in the US and the euro area real rates. The increase in the risk premia reflects two sets of forces. Bonds have become better hedges for stocks, notably in the euro area, and risk aversion has increased. In our model, changes in labor share, longevity and inequality had negligible effects on interest rates. (c) 2021 Elsevier B.V. All rights reserved.