Long-Run Trends in Long-Maturity Real Rates, 1311–2022
利用长期经济金融数据，发现全球长期实际利率自文艺复兴以来呈持续下降趋势，且为趋势平稳；黑死病和1557年“三位一体违约”是重要结构突变点，人口和生产率因素并非长期驱动因素。
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.