Long-Run Trends in Long-Maturity Real Rates, 1311-2022

• 成果类型: Article
• 署名作者: Rogoff, Kenneth S.; Rossi, Barbara; Schmelzing, Paul
• 署名单位: Harvard University; Barcelona School of Economics; ICREA; Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Boston College; Stanford University
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20221352
• 发表日期: 2024
• 页码: 2271-2307
• 关键词: oil-price shock; unit-root; Great divergence; ECONOMIC-GROWTH; exchange-rate; natural rate; black-death; time-series; BEHAVIOR; tests

摘要

Taking advantage of key recent advances in long-run economic and financial data, we analyze the statistical properties of global long-maturity real interest rates over the past seven centuries. In contrast to existing consensus, we find that real interest rates are in fact trend stationary and exhibit a persistent downward trend since the Renaissance. We investigate structural breaks in real interest rates over time and find that overall the Black Death and the 1557 Trinity default appear as consistent inflection points. We further show that demographic and productivity factors do not represent convincing drivers of real interest rates over long spans. ( JEL E43, F30, N20) )