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Why are real interest rates so low? Evidence from a structural VAR with sign restrictions
Stockholms universitet, Samhällsvetenskapliga fakulteten, Nationalekonomiska institutionen.
(engelsk)Manuskript (preprint) (Annet vitenskapelig)
Abstract [en]

Real interest rates reached record low levels in many countries as the business cycle picks up after the financial crisis. Numerous explanations for this phenomenon have been suggested, but only a handful of studies attempt to disentangle the relative importance of the different factors. Sign restrictions are useful for analyzing this problem since shocks to the supply of savings and investment demand have effects of different signs. The simplest bivariate Bayesian VAR model with only the real interest rate and savings indicates that shocks to investment have been twice as important as shocks to savings. When more variables are included, we find that negative business cycle shocks have depressed the real interest rate by -1.26%. The second most important factor is low productivity, contributing-1.11%. However, high savings has not been a major driving force behind the low real interest rates during the recent period.

Emneord [en]
Real interest rate, sign restrictions, global savings and investment
HSV kategori
Forskningsprogram
nationalekonomi
Identifikatorer
URN: urn:nbn:se:su:diva-164669OAI: oai:DiVA.org:su-164669DiVA, id: diva2:1279929
Tilgjengelig fra: 2019-01-17 Laget: 2019-01-17 Sist oppdatert: 2019-01-18bibliografisk kontrollert

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