• Kenneth Rogoff


July 2023, Paper: "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."