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Global trends in interest rates

Author

Listed:
  • Del Negro, Marco
  • Giannone, Domenico
  • Giannoni, Marc P.
  • Tambalotti, Andrea

Abstract

The trend in the world real interest rate for safe and liquid assets fluctuated close to 2% 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.

Suggested Citation

  • Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019. "Global trends in interest rates," Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
    • Handle: RePEc:eee:inecon:v:118:y:2019:i:c:p:248-262
    DOI: 10.1016/j.jinteco.2019.01.010
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    More about this item

    Keywords

    World interest rate; Convenience yield; Interest rate parity; VAR with common trends;
    All these keywords.

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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