EWMES 2024 | ECB Lecture by Barbara Rossi скачать в хорошем качестве

EWMES 2024 | ECB Lecture by Barbara Rossi

EWMES 2024 | ECB Lecture: "A four century perspective on short-term real interest rates and the term premium" by Barbara Rossi (joint work with Kenneth Rogoff and Paul Schmelzing) December 16, 2024 at The University of the Balearic Islands - Palma, Spain Abstract: Utilizing critical recent data advances, we analyze empirical evidence on long-run samples of short-maturity real interest rates as well as term spreads based on multi-century data. In contrast to an extensive literature on short-maturity real interest rates over the past few decades, we find strong and consistent evidence of trend stationarity in long horizon series, relatively fast adjustment speeds, and a paucity of structural breaks– results that we show to survive out of sample tests. These series represent the critical variable for ongoing monetary policy debates surrounding r*, and also represent the crucial missing link to reconstructing the long-run properties of term spreads. Our long horizon samples therefore allow us to test consensus explanations of the natural rate as well as those of time-varying term premia: not least, we show that term spreads are secularly rising while inflation volatility trends in the exact opposite direction– which questions influential term structure models.