Low real interest rates: depression economics, not secular trends
By: Gene Kindberg-Hanlon – Bank of England
Hamilton and al, using cross-country data going back to the 19th century, find a very tenuous relationship between long-run growth and real interest rates.
The equilibrium real funds rates: past present and future
Authors: James Hamilton, Ethan S. Harris, Jan Hatzius, Kenneth D. West
From: University of California, San Diego – Bank of America Merrill Lynch – Goldman Sachs – University of Wisconsin
Pescatori and al use a semi-structural model to estimate neutral rates in the US from 1983 to 2015. They find that real neutral rates declined post 1990s, turned negative during the global financial crisis but are expected to gradually increase going forward, casting some doubt on the secular stagnation hypothesis.
Lower for longer: Neutral rate for the US
Authors: Andrea Pescatori, Jarkko Turunen
Favero, Gozluku and Yang explore the link between the term structure and demographics. They argue that the composition of age structure determines the equilibrium rate in the monetary policy rule and therefore the persistent component in one-period yields. Their out-of-sample forecasts indicate that interest rates might start recovering soon.
Demographics and the behavior of interest rates
Authors: Carlo Favero, Arie Gozluklu, and Haoxi Yang
From: Bocconi University – University of Warwick
In support of the secular stagnation hypothesis
Williams argues that the low r-star is indeed a break from the experience of the past 50 years, is a global phenomenon and hence is going to be persistent.
Three questions on r-star
By: John C. Williams – Federal Reserve Bank of San Francisco
Eggertsson, Mehrotra and Robbins decompose the contribution of demographic and technological factors to the decline of interest rates in the US. They argue, that none of these trends can be reversed in the near future in order to boost interest rates.
A Model of Secular Stagnation: Theory and Quantitative Evaluation
Authors: Gauti B. Eggertsson, Neil R. Mehrotra, Jacob Robbins
From: Brown University
Bunker has a nice explanation of the Eggertsson, Mehrotra and Robbins paper.
What’s Behind the Decline in U.S. Interest Rates?
By: Nick Bunker – Washington Center for Equitable Growth
Secular stagnation, growth and real interest rates
Authors: Pierre-Olivier Gourinchas, Richard Portes, Pau Rabanal
From: UC Berkeley – London Business School – IMF