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Global trends in interest rates

Marco Del Negro (), Domenico Giannone (), Marc Giannoni () and Andrea Tambalotti ()

No 866, Staff Reports from Federal Reserve Bank of New York

Abstract: The trend in the world real interest rate for safe and liquid assets fluctuated close to 2 percent 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.

Keywords: convenience yield; world interest rate; VAR with common trends; interest rate parity (search for similar items in EconPapers)
JEL-codes: E43 F31 G12 E44 (search for similar items in EconPapers)
Pages: 67 pages
Date: 2018-09-01
New Economics Papers: this item is included in nep-ets, nep-mac, nep-mon and nep-opm
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Related works:
Journal Article: Global trends in interest rates (2019) Downloads
Working Paper: Global Trends in Interest Rates (2019) Downloads
Working Paper: Global Trends in Interest Rates (2019) Downloads
Chapter: Global Trends in Interest Rates (2018)
Working Paper: Global Trends in Interest Rates (2018) Downloads
Working Paper: Global Trends in Interest Rates (2018) Downloads
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