Data and Code for: LONG-RUN TRENDS IN LONG-MATURITY REAL RATES 1311-2022

Principal Investigator(s):  View help for Principal Investigator(s) Kenneth Rogoff, Harvard University. Department of Economics; Barbara Rossi, ICREA-Universitat Pompeu Fabra, BSE, CREI; Paul Schmelzing, Boston College and Hoover Institution, Stanford

Version:  View help for Version V1

Name File Type Size Last Modified
  Appendix 02/04/2024 10:18:AM
  BaiPerron 02/04/2024 10:20:AM
  Dimsdale 02/04/2024 10:21:AM
  Eichengreen 02/04/2024 10:43:AM
  HamiltonData 02/07/2024 02:56:AM
  LazarusCV 04/07/2024 05:23:AM
  OOSforecast 02/07/2024 02:59:AM
  RateVariations 02/07/2024 03:00:AM
  Rose 02/07/2024 03:01:AM
  VarRatio 02/07/2024 03:01:AM

Project Citation: 

Rogoff, Kenneth, Rossi, Barbara, and Schmelzing, Paul. Data and Code for: LONG-RUN TRENDS IN LONG-MATURITY REAL RATES 1311-2022. Nashville, TN: American Economic Association [publisher], 2024. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2024-07-12. https://doi.org/10.3886/E198061V1

Project Description

Summary:  View help for Summary
This is data and replication codes accompanying the article titled:

LONG-RUN TRENDS IN LONG-MATURITY REAL RATES 1311-2022

Abstract of the article: Taking advantage of key recent advances in long-run financial and economic data, this paper analyzes the statistical properties of global long-maturity real interest rates over the past seven centuries. In contrast to existing consensus, which has overwhelmingly concentrated on short samples for short-maturity rates, we find that long-maturity real interest rates across advanced economies are in fact trend stationary, with moderately rapid convergence speeds, and exhibit a persistent downward trend since the Renaissance. We investigate structural breaks in real interest rates over time using multiple statistical approaches, and find that structural breaks are generally rare, with only the periods around the Black Death and the "Trinity default" of 1557 appearing as consistent inflection points -- while the evidence on "recent" structural breaks, namely 1914 and 1981, overall appears weaker than existing literature would lead one to expect. We further examine trends in persistence, as well as commonly invoked drivers of global real rates: exploiting significant data advances, we argue that historically, demographic and productivity factors appear to show no promising causal role, and in fact diverge from real interest rates over the long run.

Scope of Project

Subject Terms:  View help for Subject Terms Real interest rates
JEL Classification:  View help for JEL Classification
      E40 Money and Interest Rates: General
      F30 International Finance: General
      N20 Economic History: Financial Markets and Institutions: General, International, or Comparative
Geographic Coverage:  View help for Geographic Coverage Netherlands, United States, Japan, United Kingdom, Italy, France, Germany, Spain
Time Period(s):  View help for Time Period(s) 1311 – 2022
Collection Date(s):  View help for Collection Date(s) 1/1/2016 – 1/1/2023
Universe:  View help for Universe Sovereign executive sector (debtor side), various (lender side).
Data Type(s):  View help for Data Type(s) aggregate data; event/transaction data


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V1 [2024-07-12]

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