Real Interest Rate Persistence: Evidence and Implications

The real interest rate plays a central role in many important financial and macroeconomic models, including the consumption-based asset pricing model, neoclassical growth model, and models of the monetary transmission mechanism. The authors selectively survey the empirical literature that examines the time-series properties of real interest rates. A key stylized fact is that postwar real interest rates exhibit substantial persistence, shown by extended periods when the real interest rate is substantially above or below the sample mean. The finding of persistence in real interest rates is pervasive, appearing in a variety of guises in the literature. The authors discuss the implications of persistence for theoretical models, illustrate existing findings with updated data, and highlight areas for future research.

实际利率（real interest rate）在诸多重要金融与宏观经济模型中占据核心地位，涵盖基于消费的资产定价模型（consumption-based asset pricing model）、新古典增长模型（neoclassical growth model）以及货币政策传导机制（monetary transmission mechanism）相关模型。本文作者有选择性地综述了探究实际利率时间序列特性的实证研究文献。一项关键的典型化事实（stylized fact）表明：战后实际利率呈现出显著的持续性，具体体现为实际利率会在较长时期内显著高于或低于样本均值。实际利率存在持续性这一发现具有普遍性，在各类相关文献中以多种形式有所体现。本文作者探讨了利率持续性对理论模型的启示意义，利用更新后的数据集对已有研究结论进行了阐释，并指明了未来的研究方向。