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Global interest rates, last eight centuries

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dspp
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Global interest rates, last eight centuries

#275772

Postby dspp » January 7th, 2020, 2:41 pm

Another door-stopper of a paper (similar to viewtopic.php?f=76&t=17375)

Eight centuries of global real interest rates, R-G, and the ‘suprasecular’ decline, 1311–2018
Bank of England : Staff working papers set out research in progress by our staff, with the aim of encouraging comments and debate.
Published on 03 January 2020
Staff Working Paper No. 845
By Paul Schmelzing

With recourse to archival, printed primary, and secondary sources, this paper reconstructs global real interest rates on an annual basis going back to the 14th century, covering 78% of advanced economy GDP over time. I show that across successive monetary and fiscal regimes, and a variety of asset classes, real interest rates have not been ‘stable’, and that since the major monetary upheavals of the late middle ages, a trend decline between 0.6–1.6 basis points per annum has prevailed. A gradual increase in real negative‑yielding rates in advanced economies over the same horizon is identified, despite important temporary reversals such as the 17th Century Crisis. Against their long‑term context, currently depressed sovereign real rates are in fact converging ‘back to historical trend’ — a trend that makes narratives about a ‘secular stagnation’ environment entirely misleading, and suggests that — irrespective of particular monetary and fiscal responses — real rates could soon enter permanently negative territory. I also posit that the return data here reflects a substantial share of ‘non‑human wealth’ over time: the resulting R-G series derived from this data show a downward trend over the same timeframe: suggestions about the ‘virtual stability’ of capital returns, and the policy implications advanced by Piketty (2014) are in consequence equally unsubstantiated by the historical record.

https://www.bankofengland.co.uk/working ... -111008677

or
https://www.bankofengland.co.uk/-/media ... FB09FF4881

To cut to the chase see p14 and p73. Basically get used to a lot of low interest rates (i.e. negative) for a long time to come if trends continue. The study en passant suggests the Black Death theory is wrong.

regards, dspp

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Re: Global interest rates, last eight centuries

#286808

Postby pixtel » February 26th, 2020, 10:27 am

Dspp - thanks for finding this link, a thoroughly interesting read and has me thinking harder about longer term real return opportunities

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Re: Global interest rates, last eight centuries

#328270

Postby Daytona » July 23rd, 2020, 6:53 pm

Facinating stuff, thank you!


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