Finance Seminar: Jens Christensen, San Francisco FED
Title: Can Fiscal, AI, or Monetary News Explain the Rise in r∗?
Info about event
Time
Location
Universitetsbyen 51, 8000 Aarhus C, Building 1814, Room 227
Organizer
Presenter: Jens Christensen, San Francisco FED
Title: Can Fiscal, AI, or Monetary News Explain the Rise in r∗?
Abstract: Following decades of secular decline, estimates of r∗—the natural or steady-state short-term real interest rate—have risen roughly 1 percentage point since 2020 in many advanced economies, including the United States. The most prominent explanation attributes this reversal to heightened expectations of rising government debt and faster productivity growth from artificial intelligence (AI). However, a high-frequency event study finds that news about fiscal and AI developments does not account for this increase, neither does monetary policy news. While the pre-pandemic persistent shifts in longer-term yields mostly occurred around monetary policy meetings, that regularity has not held in this decade.
Host: Martin Møller Andreasen