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Safety, Liquidity, and the Natural Rate of Interest

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

No 803, 2017 Meeting Papers from Society for Economic Dynamics

Abstract: Why are interest rates so low in the Unites States? We nd that they are low mostly because the premium for safety and liquidity has increased since the late 1990s. We reach this conclusion using two complementary perspectives: a exible time series model of trends in nominal rates, Treasury and corporate yields, in ation, and long term expectations, and a medium-scale DSGE model. We discuss the implications of this nding for the natural rate of interest.

New Economics Papers: this item is included in nep-dge, nep-mac and nep-mon
Date: 2017
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Journal Article: Safety, Liquidity, and the Natural Rate of Interest (2017) Downloads
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