Arbeitspapier
Safety, liquidity, and the natural rate of interest
Why are interest rates so low in the Unites States? We find that they are low primarily because the premium for safety and liquidity has increased since the late 1990s, and to a lesser extent because economic growth has slowed. We reach this conclusion using two complementary perspectives: a flexible time-series model of trends in Treasury and corporate yields, inflation, and long-term survey expectations, and a medium-scale dynamic stochastic general equilibrium (DSGE) model. We discuss the implications of this finding for the natural rate of interest.
- Sprache
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Englisch
- Erschienen in
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Series: Staff Report ; No. 812
- Klassifikation
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Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Quantitative Policy Modeling
Interest Rates: Determination, Term Structure, and Effects
Financial Markets and the Macroeconomy
- Thema
-
natural rate of interest
DSGE models
liquidity
safety
convenience yield
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Del Negro, Marco
Giannone, Domenico
Giannoni, Marc P.
Tambalotti, Andrea
- Ereignis
-
Veröffentlichung
- (wer)
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Federal Reserve Bank of New York
- (wo)
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New York, NY
- (wann)
-
2017
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Del Negro, Marco
- Giannone, Domenico
- Giannoni, Marc P.
- Tambalotti, Andrea
- Federal Reserve Bank of New York
Entstanden
- 2017