Quantitative History Webinar Series - Eight Centuries of Global Real Interest Rates, R-G, and the ‘Suprasecular’ Decline, 1311–2018 by Paul Schmelzing, Visiting scholar, the Bank of England
Live on Zoom on December 3, 2020
09:00 Hong Kong/Beijing/Singapore | 10:00 Tokyo | 12:00 Sydney
20:00 Previous Day New York Time
With recourse to archival, printed primary, and secondary sources, Dr. Paul Schmelzing reconstructs global real interest rates on an annual basis going back to the 14th century, covering 78% of advanced economy GDP over time. His new research shows 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. In this Quantitative History Webinar, Paul will explore the return data that 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. Paul will also discuss the implications of this paper’s findings for secular stagnation theory, Thomas Piketty’s inegalitarian wealth spiral, and for macroeconomic policy.
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