Estimating the Interest Rate Trend in a Shadow Rate Term Structure Model
提出一个结合影子利率和漂移趋势的无套利动态期限结构模型，估计了美国、英国和德国1972至2022年的实际利率趋势，发现自1990年代以来三国利率趋势均下降且高度协同，并分析了与宏观经济基本面的长期相关性。
Abstract We introduce a no‐arbitrage dynamic term structure model integrated with a shadow rate and drifting trends to estimate the real interest rate trend in the United States, the United Kingdom, and Germany from 1972 to 2022. Our findings reveal declining interest rate trends across all three countries since the 1990s, underpinned by a significant co‐movement among them. We evaluate the long‐run correlations between the interest rate trends and various macro‐economic fundamentals to shed light on potential driving forces of the declining interest rate trend.