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The Determinants of U.S. Real Interest Rates in the Long Run

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  • Ms. Sharmini Coorey

Abstract

This paper examines the factors which influence the behavior of real interest rates in the United States over the long run. Data on real and nominal returns to bonds and equities are tested for unit root non-stationarity. The results indicate that real and nominal interest rates and inflation are integrated of order one while the evidence on returns to equities is mixed. Short- and long-term real rates were found to be cointegrated with government deficits, government debt relative to GNP, private wealth, real balances relative to GNP, demographic factors and the marginal productivity of capital; demographic, fiscal, and monetary policy variables appear to be particularly significant.

Suggested Citation

  • Ms. Sharmini Coorey, 1991. "The Determinants of U.S. Real Interest Rates in the Long Run," IMF Working Papers 1991/118, International Monetary Fund.
    • Handle: RePEc:imf:imfwpa:1991/118
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    File URL: http://www.imf.org/external/pubs/cat/longres.aspx?sk=994
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    Cited by:

    1. Franco Bevilacqua & Adriaan van Zon, 2004. "Random walks and non-linear paths in macroeconomic time series: some evidence and implications," Chapters, in: John Foster & Werner Hölzl (ed.), Applied Evolutionary Economics and Complex Systems, chapter 3, Edward Elgar Publishing.
    2. Eric Dubois, 1998. "Taux d'intérêt réels élevés dans le monde et crédibilité des autorités monétaires," Revue Française d'Économie, Programme National Persée, vol. 13(1), pages 89-122.
    3. Asmaa Ahmed, 2005. "Random Walks in the Economic Dynamic Series," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 2, pages 78-100.

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