Determinants of long-term interest rates

Ona Ciocyte, Sander Muns, Marcel Lever

Research output: Working paperOther research output

Abstract

The nominal long-term interest rate decreased in the past decades due to the
decrease in (expected) inflation and in potential growth and due to changes in the age structure of the population. This conclusion is based on our survey of the literature and our empirical findings for the long-term interest rate in high-income countries since 1990. The relationship between nominal interest rates and macroeconomic fundamentals is relatively weak, as demonstrated by the low explanatory power of our regression analysis. The consensus is that the interest rate will somewhat recover, but not return to historical levels.
Original languageEnglish
Place of PublicationDen Haag
PublisherCPB
Number of pages34
Publication statusPublished - 27 May 2016
Externally publishedYes

Fingerprint

Long-term interest rates
Nominal interest rate
Macroeconomic fundamentals
Age structure
Income
Interest rates
Expected inflation
Regression analysis

Cite this

Ciocyte, O., Muns, S., & Lever, M. (2016). Determinants of long-term interest rates. Den Haag: CPB.
Ciocyte, Ona ; Muns, Sander ; Lever, Marcel. / Determinants of long-term interest rates. Den Haag : CPB, 2016.
@techreport{e3922bf99a404fd6b98f7a21eda50d1a,
title = "Determinants of long-term interest rates",
abstract = "The nominal long-term interest rate decreased in the past decades due to thedecrease in (expected) inflation and in potential growth and due to changes in the age structure of the population. This conclusion is based on our survey of the literature and our empirical findings for the long-term interest rate in high-income countries since 1990. The relationship between nominal interest rates and macroeconomic fundamentals is relatively weak, as demonstrated by the low explanatory power of our regression analysis. The consensus is that the interest rate will somewhat recover, but not return to historical levels.",
author = "Ona Ciocyte and Sander Muns and Marcel Lever",
year = "2016",
month = "5",
day = "27",
language = "English",
publisher = "CPB",
type = "WorkingPaper",
institution = "CPB",

}

Ciocyte, O, Muns, S & Lever, M 2016 'Determinants of long-term interest rates' CPB, Den Haag.

Determinants of long-term interest rates. / Ciocyte, Ona; Muns, Sander; Lever, Marcel.

Den Haag : CPB, 2016.

Research output: Working paperOther research output

TY - UNPB

T1 - Determinants of long-term interest rates

AU - Ciocyte, Ona

AU - Muns, Sander

AU - Lever, Marcel

PY - 2016/5/27

Y1 - 2016/5/27

N2 - The nominal long-term interest rate decreased in the past decades due to thedecrease in (expected) inflation and in potential growth and due to changes in the age structure of the population. This conclusion is based on our survey of the literature and our empirical findings for the long-term interest rate in high-income countries since 1990. The relationship between nominal interest rates and macroeconomic fundamentals is relatively weak, as demonstrated by the low explanatory power of our regression analysis. The consensus is that the interest rate will somewhat recover, but not return to historical levels.

AB - The nominal long-term interest rate decreased in the past decades due to thedecrease in (expected) inflation and in potential growth and due to changes in the age structure of the population. This conclusion is based on our survey of the literature and our empirical findings for the long-term interest rate in high-income countries since 1990. The relationship between nominal interest rates and macroeconomic fundamentals is relatively weak, as demonstrated by the low explanatory power of our regression analysis. The consensus is that the interest rate will somewhat recover, but not return to historical levels.

M3 - Working paper

BT - Determinants of long-term interest rates

PB - CPB

CY - Den Haag

ER -

Ciocyte O, Muns S, Lever M. Determinants of long-term interest rates. Den Haag: CPB. 2016 May 27.