Some Evidence on Secular Drivers of US Safe Real Rates

• 成果类型: Article
• 署名作者: Lunsford, Kurt G.; West, Kenneth D.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Cleveland; University of Wisconsin System; University of Wisconsin Madison
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20180005
• 发表日期: 2019
• 页码: 113-139
• 关键词: long-run; demographics; consumption; stagnation; BEHAVIOR; money; debt

摘要

We study long-run correlations between safe real interest rates in the United States and over 30 variables that have been hypothesized to influence real rates. The list of variables is motivated by an intertermporal IS equation, by models of aggregate savings and investment, and by reduced-form studies. We use annual data, mostly from 1890 to 2016. We find that safe real interest rates are correlated as expected with demographic measures. For example, the long-run correlation with labor force hours growth is positive, which is consistent with overlapping generations models. For another example, the long-run correlation with the proportion of 40 to 64 year-olds in the population is negative. This is consistent with standard theory where middle-aged workers are high savers who drive down real interest rates. In contrast to standard theory, we do not find productivity to be positively correlated with real rates. Most other variables have a mixed relationship with the real rate, with long-run correlations that are statistically or economically large in some samples and by some measures but not in others.