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

American Economic Review

ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)

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

  • Kenneth S. Rogoff
  • Barbara Rossi
  • Paul Schmelzing
American Economic Review
vol. 114, no. 8, August 2024
(pp. 2271–2307)
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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 overall 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.

Citation

Rogoff, Kenneth S., Barbara Rossi, and Paul Schmelzing. 2024. "Long-Run Trends in Long-Maturity Real Rates, 1311–2022." American Economic Review, 114 (8): 2271–2307. DOI: 10.1257/aer.20221352

Additional Materials

JEL Classification

  • E43 Interest Rates: Determination, Term Structure, and Effects
  • F30 International Finance: General
  • N20 Economic History: Financial Markets and Institutions: General, International, or Comparative