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Long-Run Trends in Long-Maturity Real Rates, 1311–2022

Author

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  • Kenneth S. Rogoff
  • Barbara Rossi
  • Paul Schmelzing

Abstract

Taking advantage of key recent advances in long-run economic and financial data, we analyze the statistical properties of global long-maturity real interest rates over the past seven centuries. In contrast to existing consensus, we find that real interest rates are in fact trend stationary and exhibit a persistent downward trend since the Renaissance. We investigate structural breaks in real interest rates over time and find that overall the Black Death and the 1557 "Trinity default" appear as consistent inflection points. We further show that demographic and productivity factors do not represent convincing drivers of real interest rates over long spans.

Suggested Citation

  • Kenneth S. Rogoff & Barbara Rossi & Paul Schmelzing, 2024. "Long-Run Trends in Long-Maturity Real Rates, 1311–2022," American Economic Review, American Economic Association, vol. 114(8), pages 2271-2307, August.
    • Handle: RePEc:aea:aecrev:v:114:y:2024:i:8:p:2271-2307
    DOI: 10.1257/aer.20221352
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    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • F30 - International Economics - - International Finance - - - General
    • N20 - Economic History - - Financial Markets and Institutions - - - General, International, or Comparative

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