{
  "title": "The Determinants of U.S. Real Interest Rates in the Long Run",
  "publication": "IMF Working Papers, December 1, 1991",
  "sourceUrl": "https://www.imf.org/en/publications/wp/issues/2016/12/30/the-determinants-of-u-s-994",
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  "summary": "This paper examines the factors which influence the behavior of real interest rates in the United States over the long run. Data on real and nominal returns to bonds and equities are tested for unit root non-stationarity.",
  "sections": [
    {
      "heading": "Research objective and methods",
      "content": "- Examines factors influencing the behavior of U.S. real interest rates over the long run.\n- Tests data on real and nominal returns to bonds and equities for unit root non-stationarity.\n- Employs ADF statistic / ADF test (as indicated in keywords) and cointegration analysis."
    },
    {
      "heading": "Key empirical findings",
      "content": "- Real and nominal interest rates and inflation are integrated of order one.\n- Evidence on returns to equities is mixed.\n- Short- and long-term real rates were found to be cointegrated with:\n  - government deficits\n  - government debt relative to GNP\n  - private wealth\n  - real balances relative to GNP\n  - demographic factors\n  - the marginal productivity of capital\n- Demographic, fiscal, and monetary policy variables appear to be particularly significant."
    },
    {
      "heading": "Subjects and keywords (as listed)",
      "content": "- Subjects: Financial institutions, Financial services, Government debt management, Inflation, Prices, Production, Public financial management (PFM), Real interest rates, Stocks, Total factor productivity\n- Keywords: ADF statistic, ADF test, federal budget, Government debt management, Inflation, inflation rate, physical capital, real GNP, real interest rate, real interest rate processes, Real interest rates, real rate of interest, Stocks, Total factor productivity, weighted index, WP"
    },
    {
      "heading": "Notable bibliographic and access items",
      "content": "- Citation example provided on the page: Sharmini Coorey. \"The Determinants of U.S. Real Interest Rates in the Long Run\", IMF Working Papers 1991, 118 (1991), accessed 9/17/2026, https://doi.org/10.5089/9781451854053.001\n\nSource: IMF Working Paper — \"The Determinants of U.S. Real Interest Rates in the Long Run\" by Sharmini Coorey (Working Paper No. 1991/118).\n\n---\n\n\nSource: https://www.imf.org/en/publications/wp/issues/2016/12/30/the-determinants-of-u-s-994"
    }
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    "Authors: Sharmini Coorey",
    "Published: December 1, 1991",
    "Series: IMF Working Papers",
    "DOI: https://doi.org/10.5089/9781451854053.001",
    "Examines factors influencing the behavior of U.S. real interest rates over the long run.",
    "Tests data on real and nominal returns to bonds and equities for unit root non-stationarity.",
    "Employs ADF statistic / ADF test (as indicated in keywords) and cointegration analysis.",
    "Real and nominal interest rates and inflation are integrated of order one.",
    "Evidence on returns to equities is mixed.",
    "Short- and long-term real rates were found to be cointegrated with:",
    "Demographic, fiscal, and monetary policy variables appear to be particularly significant.",
    "Subjects: Financial institutions, Financial services, Government debt management, Inflation, Prices, Production, Public financial management (PFM), Real interest rates, Stocks, Total factor productivity",
    "Keywords: ADF statistic, ADF test, federal budget, Government debt management, Inflation, inflation rate, physical capital, real GNP, real interest rate, real interest rate processes, Real interest rates, real rate of interest, Stocks, Total factor productivity, weighted index, WP",
    "Citation example provided on the page: Sharmini Coorey. \"The Determinants of U.S. Real Interest Rates in the Long Run\", IMF Working Papers 1991, 118 (1991), accessed 9/17/2026, https://doi.org/10.5089/9781451854053.001"
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