Cover IMF Working Papers
Buy Book in Print
Low for (Very) Long? A Long-Run Perspective on r* across Advanced Economies
Author:
Josef Platzer
Search for other papers by Josef Platzer in
Current site
Google Scholar Close
,
Mr. Francesco Grigoli
Search for other papers by Mr. Francesco Grigoli in
Current site
Google Scholar Close
, and
Robin Tietz
Search for other papers by Robin Tietz in
Current site
Google Scholar Close
Series:
IMF Working Papers
Volume/Issue:
Volume 2023: Issue 085
Language:
English
Publication Date:
21 Apr 2023
DOI:
https://doi.org/10.5089/9798400235245.001
ISBN:
9798400235245
ISSN:
1018-5941
Pages:
43
Keywords:
neutral rate; old-age dependency ratio; time series; neutral interest rates; coefficient estimate; cited estimation approach; estimation procedure; Real interest rates; Capital account; Aging; Output gap; Global
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
Download PDF (4.5 MB) Download Epub
We provide a long-run perspective on neutral interest rates with new estimates for 16 advanced economies since the 1870s using the Laubach and Williams approach. Our estimates differ substantially from commonly used proxies. We find that, while cross-country heterogeneity was significant in the past, since the 1980s the decline has been common to many countries. Traditional determinants such as population aging and productivity growth are strongly correlated with the changes in neutral rates, while others like the relative price of capital and inequality exhibit weak relationships with r*. We also find that neutral rates co-vary negatively with public debt-to-GDP ratios.
  • Collapse
  • Expand
Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund