Interest rate trends in a global context
Long-term interest rates have been falling globally since the early 1980s and have reached historically low levels. Past forecasts largely missed this secular decline. This paper reviews methodologies for making long-term interest rate projections. We synthesize results from studies that use long hi...
Saved in:
| Published in | Economic modelling Vol. 101; p. 105532 |
|---|---|
| Main Authors | , |
| Format | Journal Article |
| Language | English |
| Published |
Elsevier B.V
01.08.2021
|
| Subjects | |
| Online Access | Get full text |
Cover
Loading…
| Abstract | Long-term interest rates have been falling globally since the early 1980s and have reached historically low levels. Past forecasts largely missed this secular decline. This paper reviews methodologies for making long-term interest rate projections. We synthesize results from studies that use long historical series and cross-country data to estimate the trend and decompose it into components. We then construct a set of economic indicators that are potentially useful in interest rate forecasting.
We add international forward-looking economic indicators as explanatory variables in a standard macro-finance forecasting model. We find that the model with international variables can outperform the other models by better tracking the falling trajectory of U.S. interest rates in the post-2008 period, a trend that is missed by domestic variables.
•Past forecasts largely missed the secular decline in interest rates and tended to predict rate reversals.•We review some common methodologies for interest rate forecasting.•We select macroeconomic variables relevant for interest rate forecasting based on economic theory.•Adding global macroeconomic indicators to a forecasting model allows capturing the interest rate decline. |
|---|---|
| AbstractList | Long-term interest rates have been falling globally since the early 1980s and have reached historically low levels. Past forecasts largely missed this secular decline. This paper reviews methodologies for making long-term interest rate projections. We synthesize results from studies that use long historical series and cross-country data to estimate the trend and decompose it into components. We then construct a set of economic indicators that are potentially useful in interest rate forecasting.
We add international forward-looking economic indicators as explanatory variables in a standard macro-finance forecasting model. We find that the model with international variables can outperform the other models by better tracking the falling trajectory of U.S. interest rates in the post-2008 period, a trend that is missed by domestic variables.
•Past forecasts largely missed the secular decline in interest rates and tended to predict rate reversals.•We review some common methodologies for interest rate forecasting.•We select macroeconomic variables relevant for interest rate forecasting based on economic theory.•Adding global macroeconomic indicators to a forecasting model allows capturing the interest rate decline. |
| ArticleNumber | 105532 |
| Author | Tesar, Linda L. Stolyarov, Dmitriy |
| Author_xml | – sequence: 1 givenname: Dmitriy surname: Stolyarov fullname: Stolyarov, Dmitriy email: stolyar@umich.edu – sequence: 2 givenname: Linda L. surname: Tesar fullname: Tesar, Linda L. email: ltesar@umich.edu |
| BookMark | eNqFj0tLxDAUhYOMYGf0JwhZumnNo2malcjgY2DAja5DmtxKSieRJIj-ezvM7F1dONzzcb41WoUYAKFbShpKaHc_NWBjOETXMMLokgnB2QWqaC953VHGVqgirGtrpRS_QuucJ0KWz1ZV6G4XCiTIBSdTAJcEwWXsAzb4c46DmfGCLvBTrtHlaOYMN-e7QR_PT-_b13r_9rLbPu5ry7ksNQhBBuWM7AU4yoV1hjrnuG0ZZS1TqldyHIAzJrrBGaOIUWNPhtESbqSVfIPEiWtTzDnBqL-SP5j0qynRR1096bOuPurqk-7Sezj1YBn37SHpbD0EC84nsEW76P8h_AEE1WH2 |
| Cites_doi | 10.1353/eca.2005.0011 10.1257/jep.31.3.29 10.1257/aer.98.1.358 10.1016/j.jimonfin.2018.06.012 10.1016/j.iref.2011.08.008 10.1016/S0304-3932(03)00032-1 10.1016/j.jfineco.2013.04.009 10.1016/j.jeconom.2005.03.005 10.1111/jofi.12131 10.1057/s41308-016-0020-2 10.1016/j.jmoneco.2007.06.029 10.1093/rfs/hhp081 10.1257/aer.101.4.1514 10.1080/07350015.2012.693855 10.1353/eca.2004.0010 10.1002/jae.824 10.1016/j.euroecorev.2016.04.002 10.3905/jfi.1991.692347 10.1198/073500102317351930 10.1111/0022-1082.00278 10.1002/for.2458 10.1016/j.ijforecast.2020.02.006 10.1093/rfs/hhr033 10.1093/rfs/hhq128 10.2307/1912563 10.1111/j.1467-9965.1996.tb00123.x 10.1016/j.ijforecast.2014.03.016 |
| ContentType | Journal Article |
| Copyright | 2021 Elsevier B.V. |
| Copyright_xml | – notice: 2021 Elsevier B.V. |
| DBID | AAYXX CITATION |
| DOI | 10.1016/j.econmod.2021.105532 |
| DatabaseName | CrossRef |
| DatabaseTitle | CrossRef |
| DatabaseTitleList | |
| DeliveryMethod | fulltext_linktorsrc |
| Discipline | Economics |
| EISSN | 1873-6122 |
| ExternalDocumentID | 10_1016_j_econmod_2021_105532 S0264999321001218 |
| GroupedDBID | --K --M .L6 .~1 0R~ 1B1 1OL 1RT 1~. 1~5 29G 3R3 4.4 457 4G. 5GY 5VS 63O 7-5 71M 8P~ 9JO AACTN AAEDT AAEDW AAFFL AAIAV AAIKJ AAKOC AALRI AAOAW AAPFB AAQFI AAQXK AAXUO ABFNM ABFRF ABJNI ABMAC ABXDB ABYKQ ACDAQ ACGFO ACGFS ACHQT ACIWK ACNCT ACRLP ACROA ADBBV ADEZE ADFHU ADMUD AEBSH AEFWE AEKER AEYQN AFKWA AFODL AFTJW AGHFR AGTHC AGUBO AGYEJ AHHHB AIEXJ AIIAU AIKHN AITUG AJBFU AJOXV AJWLA ALMA_UNASSIGNED_HOLDINGS AMFUW AMRAJ ASPBG AVWKF AXJTR AXLSJ AZFZN BEHZQ BEZPJ BGSCR BKOJK BKOMP BLXMC BNTGB BPUDD BULVW BZJEE CS3 DU5 EBS EFJIC EFLBG EJD EO8 EO9 EP2 EP3 F5P FDB FEDTE FGOYB FIRID FNPLU FYGXN G-2 G-Q GBLVA HMB HVGLF HZ~ IHE IXIXF J1W KOM LW9 LY5 LY9 M41 MO0 MS~ MVM N9A O-L O9- OAUVE OZT P-8 P-9 P2P PC. PQQKQ Q38 R2- RIG ROL RPZ SDF SDG SDP SEB SEE SES SEW SPCBC SSB SSF SSZ T5K TN5 U5U UNMZH WH7 WUQ Y6R YK3 ~G- AAXKI AAYXX AFJKZ AKRWK CITATION |
| ID | FETCH-LOGICAL-c337t-e550b9da785ed135cda1ddd3c42124299897fbe32256bdaa90a9f80bfc03a7c73 |
| IEDL.DBID | AIKHN |
| ISSN | 0264-9993 |
| IngestDate | Thu Sep 26 15:15:22 EDT 2024 Fri Feb 23 02:45:02 EST 2024 |
| IsDoiOpenAccess | false |
| IsOpenAccess | true |
| IsPeerReviewed | true |
| IsScholarly | true |
| Keywords | Interest rate forecast International economic indicators Secular decline |
| Language | English |
| LinkModel | DirectLink |
| MergedId | FETCHMERGED-LOGICAL-c337t-e550b9da785ed135cda1ddd3c42124299897fbe32256bdaa90a9f80bfc03a7c73 |
| OpenAccessLink | http://deepblue.lib.umich.edu/bitstream/2027.42/152442/1/wp402.pdf |
| ParticipantIDs | crossref_primary_10_1016_j_econmod_2021_105532 elsevier_sciencedirect_doi_10_1016_j_econmod_2021_105532 |
| PublicationCentury | 2000 |
| PublicationDate | August 2021 2021-08-00 |
| PublicationDateYYYYMMDD | 2021-08-01 |
| PublicationDate_xml | – month: 08 year: 2021 text: August 2021 |
| PublicationDecade | 2020 |
| PublicationTitle | Economic modelling |
| PublicationYear | 2021 |
| Publisher | Elsevier B.V |
| Publisher_xml | – name: Elsevier B.V |
| References | Geanakoplos, Magill, Quinzii (bib25) 2004; 1 Nyberg (bib41) 2018; 37 Duffee (bib21) 2013; vol. 2 Blanchard (bib8) 2019 Casey (bib13) October 1, 2020; 36 Diebold, Li, Yue (bib18) October 1, 2008; 146 Abbritti, Dell'Erba, Moreno, Sola (bib1) March 2018; 14 Domanski, Kohlscheen, Moreno (bib19) September 18, 2016 Baker, Bradford De Long, Krugman (bib5) 2005; 1 Hall (bib30) April 2016 Bauer, Rudebusch, Wu (bib6) July 1, 2012; 30 Diebold, Li (bib17) February 1, 2006; 130 Joslin, Priebsch, Kenneth (bib35) 2014; 69 Obstfeld, Tesar (bib43) 2015 Barro, Becker (bib7) 1989; 57 Guidolin, Allan (bib28) 2006; 21 Greenwood, Vissing-Jorgensen (bib27) December 29, 2018 Duffie, Kan (bib22) 1996; 6 Obstfeld (bib42) July 8, 2019 Gordon (bib26) 2010 Li, Chen (bib36) October 1, 2014; 30 Carvalho, Ferrero, Nechio (bib12) September 1, 2016; 88 Ehrlich, Thapar (bib23) May 17, 2020 Mokyr (bib40) 2014; 1 Iacoviello, Navarro (bib33) July 1, 2019; 95 Ang, Bekaert (bib3) April 1, 2002; 20 Favero, Gozluklu, Yang (bib24) November 1, 2016; 64 Dai, Singleton (bib15) 2000; 55 Caballero, Emmanuel, Gourinchas (bib11) August 2017; 31 Adrian, Crump, Mӧnch (bib2) October 1, 2013; 110 Wright (bib46) June 2011; 101 Caballero, Emmanuel, Gourinchas (bib10) March 2008; 98 Duffee (bib20) September 1, 2011; 24 Joslin, Singleton, Zhu (bib34) March 1, 2011; 24 Ang, Piazzesi (bib4) May 1, 2003; 50 Ludvigson, Serena (bib38) December 1, 2009; 22 Litterman, Josè (bib37) June 30, 1991; 1 Bloom, Brynjolfsson, Foster, Jarmin, Patnaik, Saporta- Eksten, Van Reenen (bib9) 2014 Gürkaynak, Sack, Wright (bib29) 2007 Del Negro, Giannone, Giannoni, Tambalotti (bib16) September 2018 Pericoli, Taboga (bib44) April 1, 2012; 22 Haines (bib31) 2006 Coroneo, Giannone, Modugno (bib14) July 30, 2014 Hansen, Seshadri (bib32) February 2014 Coroneo (10.1016/j.econmod.2021.105532_bib14) 2014 Caballero (10.1016/j.econmod.2021.105532_bib11) 2017; 31 Obstfeld (10.1016/j.econmod.2021.105532_bib42) 2019 Casey (10.1016/j.econmod.2021.105532_bib13) 2020; 36 Iacoviello (10.1016/j.econmod.2021.105532_bib33) 2019; 95 Bloom (10.1016/j.econmod.2021.105532_bib9) 2014 Litterman (10.1016/j.econmod.2021.105532_bib37) 1991; 1 Ludvigson (10.1016/j.econmod.2021.105532_bib38) 2009; 22 Duffee (10.1016/j.econmod.2021.105532_bib20) 2011; 24 Hall (10.1016/j.econmod.2021.105532_bib30) 2016 Gürkaynak (10.1016/j.econmod.2021.105532_bib29) 2007 Pericoli (10.1016/j.econmod.2021.105532_bib44) 2012; 22 Wright (10.1016/j.econmod.2021.105532_bib46) 2011; 101 Blanchard (10.1016/j.econmod.2021.105532_bib8) 2019 Adrian (10.1016/j.econmod.2021.105532_bib2) 2013; 110 Domanski (10.1016/j.econmod.2021.105532_bib19) 2016 Duffee (10.1016/j.econmod.2021.105532_bib21) 2013; vol. 2 Baker (10.1016/j.econmod.2021.105532_bib5) 2005; 1 Diebold (10.1016/j.econmod.2021.105532_bib18) 2008; 146 Haines (10.1016/j.econmod.2021.105532_bib31) 2006 Li (10.1016/j.econmod.2021.105532_bib36) 2014; 30 Guidolin (10.1016/j.econmod.2021.105532_bib28) 2006; 21 Barro (10.1016/j.econmod.2021.105532_bib7) 1989; 57 Joslin (10.1016/j.econmod.2021.105532_bib34) 2011; 24 Dai (10.1016/j.econmod.2021.105532_bib15) 2000; 55 Abbritti (10.1016/j.econmod.2021.105532_bib1) 2018; 14 Joslin (10.1016/j.econmod.2021.105532_bib35) 2014; 69 Ang (10.1016/j.econmod.2021.105532_bib3) 2002; 20 Ehrlich (10.1016/j.econmod.2021.105532_bib23) 2020 Mokyr (10.1016/j.econmod.2021.105532_bib40) 2014; 1 Greenwood (10.1016/j.econmod.2021.105532_bib27) 2018 Carvalho (10.1016/j.econmod.2021.105532_bib12) 2016; 88 Duffie (10.1016/j.econmod.2021.105532_bib22) 1996; 6 Favero (10.1016/j.econmod.2021.105532_bib24) 2016; 64 Gordon (10.1016/j.econmod.2021.105532_bib26) 2010 Obstfeld (10.1016/j.econmod.2021.105532_bib43) 2015 Caballero (10.1016/j.econmod.2021.105532_bib10) 2008; 98 Hansen (10.1016/j.econmod.2021.105532_bib32) 2014 Ang (10.1016/j.econmod.2021.105532_bib4) 2003; 50 Bauer (10.1016/j.econmod.2021.105532_bib6) 2012; 30 Geanakoplos (10.1016/j.econmod.2021.105532_bib25) 2004; 1 Del Negro (10.1016/j.econmod.2021.105532_bib16) 2018 Nyberg (10.1016/j.econmod.2021.105532_bib41) 2018; 37 Diebold (10.1016/j.econmod.2021.105532_bib17) 2006; 130 |
| References_xml | – year: July 8, 2019 ident: bib42 article-title: Global Dimensions of U.S. Monetary Policy contributor: fullname: Obstfeld – volume: 20 start-page: 163 year: April 1, 2002 end-page: 182 ident: bib3 article-title: Regime switches in interest rates publication-title: J. Bus. Econ. Stat. contributor: fullname: Bekaert – volume: 57 start-page: 481 year: 1989 end-page: 482 ident: bib7 article-title: Fertility choice in a model of economic growth publication-title: Econometrica contributor: fullname: Becker – year: September 18, 2016 ident: bib19 article-title: Foreign exchange market intervention in EMEs: what has changed? contributor: fullname: Moreno – volume: vol. 2 start-page: 385 year: 2013 end-page: 426 ident: bib21 article-title: Forecasting interest rates publication-title: Handbook of Economic Forecasting contributor: fullname: Duffee – volume: 31 start-page: 29 year: August 2017 end-page: 46 ident: bib11 article-title: The safe assets shortage conundrum publication-title: J. Econ. Perspect. contributor: fullname: Gourinchas – year: 2015 ident: bib43 article-title: Long-Term Interest Rates: A Survey contributor: fullname: Tesar – year: April 2016 ident: bib30 article-title: Understanding the Decline in the Safe Real Interest Rate contributor: fullname: Hall – volume: 6 start-page: 379 year: 1996 end-page: 406 ident: bib22 article-title: A yield-factor model of interest rates publication-title: Math. Finance contributor: fullname: Kan – volume: 36 start-page: 1439 year: October 1, 2020 end-page: 1453 ident: bib13 article-title: Do macroeconomic forecasters use macroeconomics to forecast? publication-title: Int. J. Forecast. contributor: fullname: Casey – volume: 146 start-page: 351 year: October 1, 2008 end-page: 363 ident: bib18 article-title: Global yield curve dynamics and interactions: a dynamic nelson–siegel approach publication-title: , Honoring the research contributions of Charles R. Nelson contributor: fullname: Yue – start-page: 15834 year: 2010 ident: bib26 article-title: Revisiting U.S. Productivity Growth over the Past Century with a View of the Future contributor: fullname: Gordon – volume: 30 start-page: 454 year: July 1, 2012 end-page: 467 ident: bib6 article-title: Correcting estimation bias in dynamic term structure models publication-title: J. Bus. Econ. Stat. contributor: fullname: Wu – volume: 1 start-page: 241 year: 2004 end-page: 325 ident: bib25 article-title: Demography and the long-run predictability of the stock market publication-title: Brookings Pap. Econ. Activ. contributor: fullname: Quinzii – year: 2007 ident: bib29 article-title: The U.S. Treasury yield curve: 1961 to the present: dataset publication-title: J. Monetary Econ. contributor: fullname: Wright – volume: 95 start-page: 232 year: July 1, 2019 end-page: 250 ident: bib33 article-title: Foreign effects of higher U.S. Interest rates publication-title: J. Int. Money Finance contributor: fullname: Navarro – year: 2019 ident: bib8 article-title: Public Debt and Low Interest Rates contributor: fullname: Blanchard – year: September 2018 ident: bib16 article-title: Global Trends in Interest Rates contributor: fullname: Tambalotti – volume: 14 start-page: 301 year: March 2018 end-page: 339 ident: bib1 article-title: Global factors in the term structure of interest rates publication-title: International Journal of Central Banking contributor: fullname: Sola – volume: 1 start-page: 289 year: 2005 end-page: 330 ident: bib5 article-title: Asset returns and economic growth publication-title: Brookings Papers on Economic Activity 2005 contributor: fullname: Krugman – year: 2006 ident: bib31 article-title: Population, by age: 1900–2000 [Annual estimates] publication-title: Table Aa125-144 in Historical Statistics of the United States, Earliest Times to the Present: Millennial Edition contributor: fullname: Haines – volume: 88 start-page: 208 year: September 1, 2016 end-page: 226 ident: bib12 article-title: Demographics and real interest rates: inspecting the mechanism publication-title: , SI: The Post-Crisis Slump contributor: fullname: Nechio – volume: 21 start-page: 1 year: 2006 end-page: 22 ident: bib28 article-title: An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns publication-title: J. Appl. Econom. contributor: fullname: Allan – volume: 50 start-page: 745 year: May 1, 2003 end-page: 787 ident: bib4 article-title: A No-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables publication-title: J. Monetary Econ. contributor: fullname: Piazzesi – volume: 30 start-page: 996 year: October 1, 2014 end-page: 1015 ident: bib36 article-title: Forecasting macroeconomic time series: LASSO-based approaches and their forecast combinations with dynamic factor models publication-title: Int. J. Forecast. contributor: fullname: Chen – volume: 37 start-page: 1 year: 2018 end-page: 15 ident: bib41 article-title: Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model publication-title: J. Forecast. contributor: fullname: Nyberg – year: July 30, 2014 ident: bib14 article-title: Unspanned Macroeconomic Factors in the Yield Curve contributor: fullname: Modugno – volume: 22 start-page: 42 year: April 1, 2012 end-page: 65 ident: bib44 article-title: Bond risk premia, macroeconomic fundamentals and the exchange rate publication-title: Int. Rev. Econ. Finance contributor: fullname: Taboga – volume: 69 start-page: 1197 year: 2014 end-page: 1233 ident: bib35 article-title: Risk premiums in dynamic term structure models with unspanned macro risks publication-title: J. Finance contributor: fullname: Kenneth – year: February 2014 ident: bib32 article-title: Uncovering the Relationship between Real Interest Rates and Economic Growth contributor: fullname: Seshadri – start-page: DP9886 year: 2014 ident: bib9 article-title: IT and Management in America contributor: fullname: Van Reenen – volume: 1 year: 2014 ident: bib40 article-title: Ideas, progress, wealth, and the biological revolution publication-title: The Biologist's Imagination: Innovation in the Biosciences contributor: fullname: Mokyr – volume: 64 start-page: 732 year: November 1, 2016 end-page: 776 ident: bib24 article-title: Demographics and the behavior of interest rates publication-title: IMF Econ. Rev. contributor: fullname: Yang – volume: 24 start-page: 2895 year: September 1, 2011 end-page: 2934 ident: bib20 article-title: Information in (and not in) the term structure publication-title: Rev. Financ. Stud. contributor: fullname: Duffee – volume: 24 start-page: 926 year: March 1, 2011 end-page: 970 ident: bib34 article-title: A new perspective on Gaussian dynamic term structure models publication-title: Rev. Financ. Stud. contributor: fullname: Zhu – volume: 1 start-page: 54 year: June 30, 1991 end-page: 61 ident: bib37 article-title: Common factors affecting bond returns publication-title: J. Fixed Income contributor: fullname: Josè – volume: 101 start-page: 1514 year: June 2011 end-page: 1534 ident: bib46 article-title: Term premia and inflation uncertainty: empirical evidence from an international panel dataset publication-title: Am. Econ. Rev. contributor: fullname: Wright – volume: 98 start-page: 358 year: March 2008 end-page: 393 ident: bib10 article-title: An equilibrium model of ‘global imbalances’ and low interest rates publication-title: Am. Econ. Rev. contributor: fullname: Gourinchas – volume: 110 start-page: 110 year: October 1, 2013 end-page: 138 ident: bib2 article-title: Pricing the term structure with linear regressions publication-title: J. Financ. Econ. contributor: fullname: Mӧnch – volume: 55 start-page: 1943 year: 2000 end-page: 1978 ident: bib15 article-title: Specification analysis of affine term structure models publication-title: J. Finance contributor: fullname: Singleton – year: May 17, 2020 ident: bib23 article-title: Public Debt Levels and Real Interest Rates: Causal Evidence from Parliamentary Elections contributor: fullname: Thapar – volume: 22 start-page: 5027 year: December 1, 2009 end-page: 5067 ident: bib38 article-title: Macro factors in bond risk premia publication-title: Rev. Financ. Stud. contributor: fullname: Serena – volume: 130 start-page: 337 year: February 1, 2006 end-page: 364 ident: bib17 article-title: Forecasting the term structure of government bond yields publication-title: J. Econom. contributor: fullname: Li – year: December 29, 2018 ident: bib27 article-title: The Impact of Pensions and Insurance on Global Yield Curves contributor: fullname: Vissing-Jorgensen – start-page: DP9886 year: 2014 ident: 10.1016/j.econmod.2021.105532_bib9 contributor: fullname: Bloom – volume: 1 start-page: 289 year: 2005 ident: 10.1016/j.econmod.2021.105532_bib5 article-title: Asset returns and economic growth publication-title: Brookings Papers on Economic Activity 2005 doi: 10.1353/eca.2005.0011 contributor: fullname: Baker – volume: 31 start-page: 29 issue: 3 year: 2017 ident: 10.1016/j.econmod.2021.105532_bib11 article-title: The safe assets shortage conundrum publication-title: J. Econ. Perspect. doi: 10.1257/jep.31.3.29 contributor: fullname: Caballero – volume: 98 start-page: 358 issue: 1 year: 2008 ident: 10.1016/j.econmod.2021.105532_bib10 article-title: An equilibrium model of ‘global imbalances’ and low interest rates publication-title: Am. Econ. Rev. doi: 10.1257/aer.98.1.358 contributor: fullname: Caballero – volume: 95 start-page: 232 year: 2019 ident: 10.1016/j.econmod.2021.105532_bib33 article-title: Foreign effects of higher U.S. Interest rates publication-title: J. Int. Money Finance doi: 10.1016/j.jimonfin.2018.06.012 contributor: fullname: Iacoviello – year: 2018 ident: 10.1016/j.econmod.2021.105532_bib16 contributor: fullname: Del Negro – volume: 22 start-page: 42 issue: 1 year: 2012 ident: 10.1016/j.econmod.2021.105532_bib44 article-title: Bond risk premia, macroeconomic fundamentals and the exchange rate publication-title: Int. Rev. Econ. Finance doi: 10.1016/j.iref.2011.08.008 contributor: fullname: Pericoli – volume: 50 start-page: 745 issue: 4 year: 2003 ident: 10.1016/j.econmod.2021.105532_bib4 article-title: A No-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables publication-title: J. Monetary Econ. doi: 10.1016/S0304-3932(03)00032-1 contributor: fullname: Ang – year: 2015 ident: 10.1016/j.econmod.2021.105532_bib43 contributor: fullname: Obstfeld – volume: 110 start-page: 110 issue: 1 year: 2013 ident: 10.1016/j.econmod.2021.105532_bib2 article-title: Pricing the term structure with linear regressions publication-title: J. Financ. Econ. doi: 10.1016/j.jfineco.2013.04.009 contributor: fullname: Adrian – volume: 130 start-page: 337 issue: 2 year: 2006 ident: 10.1016/j.econmod.2021.105532_bib17 article-title: Forecasting the term structure of government bond yields publication-title: J. Econom. doi: 10.1016/j.jeconom.2005.03.005 contributor: fullname: Diebold – volume: 69 start-page: 1197 issue: 3 year: 2014 ident: 10.1016/j.econmod.2021.105532_bib35 article-title: Risk premiums in dynamic term structure models with unspanned macro risks publication-title: J. Finance doi: 10.1111/jofi.12131 contributor: fullname: Joslin – volume: 64 start-page: 732 issue: 4 year: 2016 ident: 10.1016/j.econmod.2021.105532_bib24 article-title: Demographics and the behavior of interest rates publication-title: IMF Econ. Rev. doi: 10.1057/s41308-016-0020-2 contributor: fullname: Favero – year: 2007 ident: 10.1016/j.econmod.2021.105532_bib29 article-title: The U.S. Treasury yield curve: 1961 to the present: dataset publication-title: J. Monetary Econ. doi: 10.1016/j.jmoneco.2007.06.029 contributor: fullname: Gürkaynak – volume: 22 start-page: 5027 issue: 12 year: 2009 ident: 10.1016/j.econmod.2021.105532_bib38 article-title: Macro factors in bond risk premia publication-title: Rev. Financ. Stud. doi: 10.1093/rfs/hhp081 contributor: fullname: Ludvigson – volume: 101 start-page: 1514 issue: 4 year: 2011 ident: 10.1016/j.econmod.2021.105532_bib46 article-title: Term premia and inflation uncertainty: empirical evidence from an international panel dataset publication-title: Am. Econ. Rev. doi: 10.1257/aer.101.4.1514 contributor: fullname: Wright – volume: 146 start-page: 351 issue: 2 year: 2008 ident: 10.1016/j.econmod.2021.105532_bib18 article-title: Global yield curve dynamics and interactions: a dynamic nelson–siegel approach publication-title: Journal of Econometrics, Honoring the research contributions of Charles R. Nelson contributor: fullname: Diebold – volume: 30 start-page: 454 issue: 3 year: 2012 ident: 10.1016/j.econmod.2021.105532_bib6 article-title: Correcting estimation bias in dynamic term structure models publication-title: J. Bus. Econ. Stat. doi: 10.1080/07350015.2012.693855 contributor: fullname: Bauer – volume: 1 start-page: 241 year: 2004 ident: 10.1016/j.econmod.2021.105532_bib25 article-title: Demography and the long-run predictability of the stock market publication-title: Brookings Pap. Econ. Activ. doi: 10.1353/eca.2004.0010 contributor: fullname: Geanakoplos – year: 2016 ident: 10.1016/j.econmod.2021.105532_bib30 contributor: fullname: Hall – year: 2019 ident: 10.1016/j.econmod.2021.105532_bib42 contributor: fullname: Obstfeld – volume: 21 start-page: 1 issue: 1 year: 2006 ident: 10.1016/j.econmod.2021.105532_bib28 article-title: An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns publication-title: J. Appl. Econom. doi: 10.1002/jae.824 contributor: fullname: Guidolin – volume: 14 start-page: 301 issue: 2 year: 2018 ident: 10.1016/j.econmod.2021.105532_bib1 article-title: Global factors in the term structure of interest rates publication-title: International Journal of Central Banking contributor: fullname: Abbritti – start-page: 15834 year: 2010 ident: 10.1016/j.econmod.2021.105532_bib26 contributor: fullname: Gordon – year: 2016 ident: 10.1016/j.econmod.2021.105532_bib19 contributor: fullname: Domanski – year: 2006 ident: 10.1016/j.econmod.2021.105532_bib31 article-title: Population, by age: 1900–2000 [Annual estimates] contributor: fullname: Haines – volume: 88 start-page: 208 year: 2016 ident: 10.1016/j.econmod.2021.105532_bib12 article-title: Demographics and real interest rates: inspecting the mechanism publication-title: European Economic Review, SI: The Post-Crisis Slump doi: 10.1016/j.euroecorev.2016.04.002 contributor: fullname: Carvalho – volume: 1 start-page: 54 issue: 1 year: 1991 ident: 10.1016/j.econmod.2021.105532_bib37 article-title: Common factors affecting bond returns publication-title: J. Fixed Income doi: 10.3905/jfi.1991.692347 contributor: fullname: Litterman – volume: 20 start-page: 163 issue: 2 year: 2002 ident: 10.1016/j.econmod.2021.105532_bib3 article-title: Regime switches in interest rates publication-title: J. Bus. Econ. Stat. doi: 10.1198/073500102317351930 contributor: fullname: Ang – volume: 55 start-page: 1943 issue: 5 year: 2000 ident: 10.1016/j.econmod.2021.105532_bib15 article-title: Specification analysis of affine term structure models publication-title: J. Finance doi: 10.1111/0022-1082.00278 contributor: fullname: Dai – year: 2019 ident: 10.1016/j.econmod.2021.105532_bib8 contributor: fullname: Blanchard – year: 2014 ident: 10.1016/j.econmod.2021.105532_bib14 contributor: fullname: Coroneo – year: 2020 ident: 10.1016/j.econmod.2021.105532_bib23 contributor: fullname: Ehrlich – volume: 1 year: 2014 ident: 10.1016/j.econmod.2021.105532_bib40 article-title: Ideas, progress, wealth, and the biological revolution publication-title: The Biologist's Imagination: Innovation in the Biosciences contributor: fullname: Mokyr – volume: 37 start-page: 1 issue: 1 year: 2018 ident: 10.1016/j.econmod.2021.105532_bib41 article-title: Forecasting US interest rates and business cycle with a nonlinear regime switching VAR model publication-title: J. Forecast. doi: 10.1002/for.2458 contributor: fullname: Nyberg – volume: 36 start-page: 1439 issue: 4 year: 2020 ident: 10.1016/j.econmod.2021.105532_bib13 article-title: Do macroeconomic forecasters use macroeconomics to forecast? publication-title: Int. J. Forecast. doi: 10.1016/j.ijforecast.2020.02.006 contributor: fullname: Casey – volume: 24 start-page: 2895 issue: 9 year: 2011 ident: 10.1016/j.econmod.2021.105532_bib20 article-title: Information in (and not in) the term structure publication-title: Rev. Financ. Stud. doi: 10.1093/rfs/hhr033 contributor: fullname: Duffee – volume: vol. 2 start-page: 385 year: 2013 ident: 10.1016/j.econmod.2021.105532_bib21 article-title: Forecasting interest rates contributor: fullname: Duffee – volume: 24 start-page: 926 issue: 3 year: 2011 ident: 10.1016/j.econmod.2021.105532_bib34 article-title: A new perspective on Gaussian dynamic term structure models publication-title: Rev. Financ. Stud. doi: 10.1093/rfs/hhq128 contributor: fullname: Joslin – volume: 57 start-page: 481 issue: 2 year: 1989 ident: 10.1016/j.econmod.2021.105532_bib7 article-title: Fertility choice in a model of economic growth publication-title: Econometrica doi: 10.2307/1912563 contributor: fullname: Barro – volume: 6 start-page: 379 issue: 4 year: 1996 ident: 10.1016/j.econmod.2021.105532_bib22 article-title: A yield-factor model of interest rates publication-title: Math. Finance doi: 10.1111/j.1467-9965.1996.tb00123.x contributor: fullname: Duffie – year: 2018 ident: 10.1016/j.econmod.2021.105532_bib27 contributor: fullname: Greenwood – year: 2014 ident: 10.1016/j.econmod.2021.105532_bib32 contributor: fullname: Hansen – volume: 30 start-page: 996 issue: 4 year: 2014 ident: 10.1016/j.econmod.2021.105532_bib36 article-title: Forecasting macroeconomic time series: LASSO-based approaches and their forecast combinations with dynamic factor models publication-title: Int. J. Forecast. doi: 10.1016/j.ijforecast.2014.03.016 contributor: fullname: Li |
| SSID | ssj0002149 |
| Score | 2.3156238 |
| Snippet | Long-term interest rates have been falling globally since the early 1980s and have reached historically low levels. Past forecasts largely missed this secular... |
| SourceID | crossref elsevier |
| SourceType | Aggregation Database Publisher |
| StartPage | 105532 |
| SubjectTerms | Interest rate forecast International economic indicators Secular decline |
| Title | Interest rate trends in a global context |
| URI | https://dx.doi.org/10.1016/j.econmod.2021.105532 |
| Volume | 101 |
| hasFullText | 1 |
| inHoldings | 1 |
| isFullTextHit | |
| isPrint | |
| link | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwnV1LS8NAEB76OOhFfGJ9lD148LJNNptkk2MplqrYixZ6C_sqtGBaNF797e40Gx8gHjzmMZDMst83k8w3A3AVRiYSKgspY8JQx7eK5qmUNLSSSRvj7DTUDj9M08ksvpsn8xaMGi0MllV67K8xfYvW_kzgvRlslsvg0WUPGK6jCAUbk2Vt6Do6iuMOdIe395PpJyBHrI6C3f0UDb6EPMFqgGnn8xp7hkYMh94mPPqdor7Rzngf9ny8SIb1Ix1Ay5aHsNPIiV-P4Hr7Tc9hO8GmD6Ta1riSZUkkqZt9EKxGdxB8DLPxzdNoQv34A6o5FxW1LnlQuZEiS6xhPNFGMmMM1_gTF2kky8VCWdyRqTJS5qHMF1moFjrkUmjBT6BTrkt7CkRZJjnX7rLbflan0tG6ylUqhMy40qIHg-aNi03d5aJoyr9WhXdRgS4qahf1IGv8UvxYrsIh8d-mZ_83PYddPKrr7y6gU7282UsXE1SqD-3BO-v7lf8Az7W01w |
| link.rule.ids | 315,786,790,4521,24144,27955,27956,45618,45712 |
| linkProvider | Elsevier |
| linkToHtml | http://utb.summon.serialssolutions.com/2.0.0/link/0/eLvHCXMwnV07T8MwED6VMpQF8RTl6YGBxW0cN3EyooqqQNuFVupm-VWplUgrCCu_HV8eKkiIgTW2Jecsf3eXfPcdwG0Q2lDoJKCMCUu9v9U0jZWigVNMuR72TsPa4fEkHs56T_No3oB-XQuDtMoK-0tML9C6etKtrNndLJfdF589YLiORSgoTJbswC5GA8jr6nxueR4hK2NgP5vi9G0ZT3fVwaTzdY2KoSHDlrcRD393UN-czuAA9qtokdyXGzqEhsuOoFUXE78fw13xRc8jO0HJB5IXDFeyzIgipdQHQS66B-ATmA0epv0hrZofUMO5yKnzqYNOrRJJ5CzjkbGKWWu5wV-46ESSVCy0w_sYa6tUGqh0kQR6YQKuhBH8FJrZOnNnQLRjinPjh_3lcyZW3qnrVMdCqIRrI9rQqd9YbkqNC1mTv1ayMpFEE8nSRG1IarvIH4clPQ7_vfT8_0tvoDWcjkdy9Dh5voA9HCmZeJfQzN8-3JWPDnJ9XZz-F2HFtaw |
| openUrl | ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=Interest+rate+trends+in+a+global+context&rft.jtitle=Economic+modelling&rft.au=Stolyarov%2C+Dmitriy&rft.au=Tesar%2C+Linda+L.&rft.date=2021-08-01&rft.pub=Elsevier+B.V&rft.issn=0264-9993&rft.eissn=1873-6122&rft.volume=101&rft_id=info:doi/10.1016%2Fj.econmod.2021.105532&rft.externalDocID=S0264999321001218 |
| thumbnail_l | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/lc.gif&issn=0264-9993&client=summon |
| thumbnail_m | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/mc.gif&issn=0264-9993&client=summon |
| thumbnail_s | http://covers-cdn.summon.serialssolutions.com/index.aspx?isbn=/sc.gif&issn=0264-9993&client=summon |