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Federal Reserve Bank of New York
Staff Reports
Global trends in interest rates
Marco Del Negro
Domenico Giannone
Marc Giannoni
Andrea Tambalotti
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.


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Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, Global trends in interest rates, Federal Reserve Bank of New York, Staff Reports 866, 01 Sep 2018.
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Keywords: world interest rate; convenience yield; interest rate parity; VAR with common trends
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