samlet årgang - Økonomisk Institut - Københavns Universitet

160
25
20
15
10
5
0
-5
Figure 3. Real interest rates 1875-2003, per cent per annum.
NATIONALØKONOMISK TIDSSKRIFT 2005. NR. 2
-10
Real short-term interest rate
Real long-term interest rate (SE)
-15
Real long-term interest rate (PF)
-20
1875 1885 1895 1905 1915 1925 1935 1945 1955 1965 1975 1985 1995 2005
Notes: The »real short-term interest rate (SE)« is measured as the difference between the contemporaneous nominal
market rate of discount/money market rate and the contemporaneous rate of consumer price inflation. The »real longterm
interest rate (SE)« is measured as the difference between the contemporaneous nominal government bond yield
and the contemporaneous rate of consumer price inflation. The »real long-term interest rate (PF)« is measured as the
difference between the contemporaneous nominal Government bond yield and the annual average consumer price inflation
7 years ahead. Therefore, the last observation is 1996.
Source: Chart 7a and 8a in Abildgren (2005).
term interest rate (PF)« indicates a rather high level of long-term real interest rates
during the late 1980s and the first half of the 1990s.
As an alternative to deriving indicators for the ex ante real interest rate from the
nominal interest rate, one can try to derive proxies for expected inflation from the nominal
long-term interest rate by deducting a measure for the expected real long-term
interest rate. Dewald (2003) studies financial market inflation expectations in 13
countries (including Denmark) over the period 1880-2001. One of the measures of the
expected real long-term interest rate in each country presented in this study is the
country’s own 10-year-ahead real GDP growth trend (the »country growth approach«).
The underlying argument is the »Golden Rule« within Neoclassical Growth Theory –
according to which the steady state real interest rate equals the annual growth rate of
real output 12 – combined with an assumption of »perfect foresight« (or »rational expectations«)
about future economic growth. Such an approach may be reasonable in
periods with restrictions on cross-border capital movements, but less obvious in periods
with free cross-border capital movements. In the latter case one would expect real interest
rates to be equalised across countries. Dewald (2003) therefore also presents alternative
calculations where the expected real long-term interest rate in each country is
12. Cf. e.g. Mankiw (1992) or Barro and Sala-i-Martin (2004) for a presentation of the Golden Rule.