Report

Global trends in interest rates


Abstract: The trend in the world real interest rate for safe and liquid assets fluctuated close to 2 percent for more than a century, but has dropped significantly over the past three decades. This decline has been common among advanced economies, as trends in real interest rates across countries have converged over this period. It was driven by an increase in the convenience yield for safety and liquidity and by lower global economic growth.

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

JEL Classification: E43; F31; G12; E44;

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Bibliographic Information

Provider: Federal Reserve Bank of New York

Part of Series: Staff Reports

Publication Date: 2018-09-01

Number: 866

Pages: 67 pages