Accounting for Changes in Long-Term Interest Rates: Evidence from Canada
利用加拿大名义和实际收益率的动态期限结构模型，分解1996至2021年长期利率变化，发现均衡实际利率下降超4个百分点，而疫情后利率上升主要由均衡实际利率逆转驱动。
Abstract We provide a novel perspective on changes in global long-term interest rates using a dynamic term structure model of Canadian nominal and real yields with adjustments for term, liquidity, and inflation risk premiums. For the period from 1996 to 2021, we find that the steady-state or equilibrium short-term real interest rate fell by more than 4 percentage points, long-term inflation expectations edged down modestly, and real bond and inflation risk premiums varied with little longer-run trend. In contrast, our yield decomposition attributes the post-pandemic rise in interest rates largely to a sharp reversal and increase in the equilibrium real rate.