Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/189853
Authors: 
Del Negro, Marco
Giannone, Domenico
Giannoni, Marc P.
Tambalotti, Andrea
Year of Publication: 
2017
Series/Report no.: 
Staff Report 812
Abstract: 
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.
Subjects: 
natural rate of interest
r*
DSGE models
liquidity
safety
convenience yield
JEL: 
C11
C32
C54
E43
E44
Document Type: 
Working Paper

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