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Discussion Paper
The Post‑Pandemic Global R*
In this post we provide a measure of “global” r* using data on short- and long-term yields and inflation for several countries with the approach developed in “Global Trends in Interest Rates” (Del Negro, Giannone, Giannoni, and Tambalotti). After declining significantly from the 1990s to before the COVID-19 pandemic, global r* has risen but remains well below its pre-1990s level. These conclusions are based on an econometric model called “trendy VAR” that extracts common trends across a multitude of variables. Specifically, the common trend in real rates across all the countries ...