Global trends in interest rates

• 成果类型: Article; Proceedings Paper
• 署名作者: Del Negro, Marco; Giannone, Domenico; Giannoni, Marc P.; Tambalotti, Andrea
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; Federal Reserve System - USA; Federal Reserve Bank - Dallas
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/j.jinteco.2019.01.010
• 发表日期: 2019
• 页码: 248-262
• 关键词: World interest rate; Convenience yield; Interest rate parity; VAR with common trends

摘要

The trend in the world real interest rate for safe and liquid assets fluctuated close to 2% for more than a century, but has dropped significantly over the past three decades. This decline has been common among advanced economies, as trends in real interest rates across countries have converged over this period. It was driven by an increase in the convenience yield for safety and liquidity and by lower global economic growth. (C) 2019 Elsevier B.V. All rights reserved.