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Why have interest rates fallen far below the return on capital?

Author

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  • Marx, Magali
  • Mojon, Benoît
  • Velde, François R.
Abstract
Interest rates have been falling since the mid-1980s while the return on capital has not. In a calibrated OLG model with recursive preferences encompassing many of the “usual suspects” cited in the debate on secular stagnation, we find that lower trend growth accounts for the trends in the US and the euro area real rates. The increase in the risk premia reflects two sets of forces. Bonds have become better hedges for stocks, notably in the euro area, and risk aversion has increased. In our model, changes in labor share, longevity and inequality had negligible effects on interest rates.

Suggested Citation

  • Marx, Magali & Mojon, Benoît & Velde, François R., 2021. "Why have interest rates fallen far below the return on capital?," Journal of Monetary Economics, Elsevier, vol. 124(S), pages 57-76.
    • Handle: RePEc:eee:moneco:v:124:y:2021:i:s:p:s57-s76
    DOI: 10.1016/j.jmoneco.2021.09.008
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    More about this item

    Keywords

    Risk-free rate; Return on capital; Secular stagnation;
    All these keywords.

    JEL classification:

    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E66 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - General Outlook and Conditions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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