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01269nam a2200145Ia 4500 |
| 001 |
10.1162-rest_a_00821 |
| 008 |
220511s2019 CNT 000 0 und d |
| 020 |
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|a 00346535 (ISSN)
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| 245 |
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|a A new normal for interest rates? Evidence from inflation-indexed debt
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| 260 |
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|b MIT Press Journals
|c 2019
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| 856 |
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|z View Fulltext in Publisher
|u https://doi.org/10.1162/rest_a_00821
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|a The downtrend in U.S. interest rates over the past two decades may partly reflect a decline in the longer-run equilibrium real rate of interest. We examine this issue using dynamic term structure models that account for time-varying term and liquidity risk premiums and are estimated directly from prices of individual inflation-indexed bonds. Our finance-based approach avoids two potential pitfalls of previous macroeconomic analyses: structural breaks at the zero lower bound and misspecification of output and inflation dynamics. We estimate that the longer-run equilibrium real rate has fallen about 2 percentage points and appears unlikely to rise quickly. © 2019 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.
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|a Christensen, J.H.E.
|e author
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| 700 |
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|a Rudebusch, G.D.
|e author
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| 773 |
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|t Review of Economics and Statistics
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