Global natural rates in the long run: Postwar macro trends and the market-implied r* in 10 advanced economies

• 成果类型: Article
• 署名作者: Davis, Josh; Fuenzalida, Cristian; Huetsch, Leon; Mills, Benjamin; Taylor, Alan M.
• 署名单位: Pacific Investment Management Company, LLC; University of Pennsylvania; Columbia University; National Bureau of Economic Research; Centre for Economic Policy Research - UK
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2024.103919
• 发表日期: 2024
• 关键词: Bond risk premia; Natural rate of interest; Inflation expectations; term structure; affine models

摘要

Benchmark finance and macroeconomic models appear to deliver conflicting estimates of the natural rate and bond risk premia. This natural rate puzzle applies not only in the U.S. but across many advanced economies. We use a unified no-arbitrage macro-finance model with two trend factors to estimate the natural rate r* for 10 advanced economies. We cover a longer and wider sample than previous studies and draw on new sources to construct yield curves and excess returns. The two-trend model improves the explanatory power of yield regressions and return forecasts. Most variation in yields is due to the macro trends r* and pi*, and not bond risk premia, which are flatter than previous estimates. Our r* estimates covary with growth and demographic variables in a manner consistent with theory and previous findings.