DP20790 Rethinking short-term real interest rates and term spreads using very long-run data
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Utilizing critical recent data advances, we analyze short-maturity real interest rates as well as term spreads based on conceptually consistent multi-century data. In contrast to an extensive literature the past few decades, we find strong evidence of trend stationarity in long horizon series, relatively fast adjustment speeds, and a paucity of structural breaks -- results that survive out of sample tests. Our evidence runs contrary to consensus in the literature that long-run r* is permanently
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