A New Normal for Interest Rates? Evidence from Inflation-Indexed Debt
利用通胀指数债券价格估计动态期限结构模型，发现美国长期均衡实际利率在过去二十年下降约2个百分点，且短期内不太可能快速回升。
Abstract The downtrend in U.S. interest rates over the past two decades may partly reflect a decline in the longer-run equilibrium real rate of interest. We examine this issue using dynamic term structure models that account for time-varying term and liquidity risk premiums and are estimated directly from prices of individual inflation-indexed bonds. Our finance-based approach avoids two potential pitfalls of previous macroeconomic analyses: structural breaks at the zero lower bound and misspecification of output and inflation dynamics. We estimate that the longer-run equilibrium real rate has fallen about 2 percentage points and appears unlikely to rise quickly.