The Secular Decline of Forecasted Interest Rates

Jean-Sebastien Fontaine and Bruno Feunou

No 2019-1, Staff Analytical Notes from Bank of Canada

Abstract: Canadian interest rates show a secular decline since the 1980s. Long-term survey-based forecasts of interest rates also declined, but less so and were more gradual. Our model-based estimates show an endpoint shifting over time in three phases: a decline between 1990 and 1995, a period of stability between 1996 and 2007, and a further decline since 2008. The current endpoint estimate remains clouded with uncertainty; this is an active area of research.

Keywords: Financial markets; Interest rates (search for similar items in EconPapers)
JEL-codes: E43 G12 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2019-01
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