Global Trends in Interest Rates

Bok, Brandyn; Del Negro, Marco; Giannone, Domenico; Giannoni, Marc; Qian, Eric; Tambalotti, Andrea

Discussion Paper

Global Trends in Interest Rates

Abstract: Long-term government bond yields are at their lowest levels of the past 150 years in advanced economies. In this blog post, we argue that this low-interest-rate environment reflects secular global forces that have lowered real interest rates by about two percentage points over the past forty years. The magnitude of this decline has been nearly the same in all advanced economies, since their real interest rates have converged over this period. The key factors behind this development are an increase in demand for safety and liquidity among investors and a slowdown in global economic growth.

Keywords: VAR with common trends; world interest rate; convenience yields; interest rate parity;

JEL Classification: E2;