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  5. Long-Run Trends in Long-Maturity Real Rates 1311–2022

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

  • Kenneth S. Rogoff
  • Barbara Rossi
  • Paul Schmelzing
American Economic Review (Forthcoming)

Abstract

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 only 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.

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