Bank of England SWP 845, Jan. 2020.

 Data underlying Bank of England, SWP 845 (January 2020 version 1.2).

JMP version, Jan. 2022.      Appendix and data replication material.


With recourse to archival, printed primary, and secondary sources, this paper reconstructs global nominal and real interest rates on an annual basis over the past 700 years, robustly covering an average of 82% of advanced economy GDP. Isolating liquid, long-term yields adjusted by a variety of plausible inflation approaches, I revise existing narratives on key capital-market inflection points and demonstrate new stylized facts about long-run capital cost dynamics. Special attention is paid to isolate historical dynamics of the global safe asset – proxied through four new long-run approaches utilizing both recent finance literature and historical frameworks – and new stylized facts on the safe asset provider are suggested: it consistently issued debt at negative real interest rates almost one-third of the time, and was able to command safety premia over other advanced economies of close to 4% over centuries. Safe and global real interest rate analyses alike put fundamental doubts on stylized theoretical properties of real interest rates, on the stability of capital returns over time, and on the present “low-interest-rate environment”. The evidence is instead strongly suggestive of a secularly unfolding “dynamic inefficiency” environment, with real interest-rate and capital return trends since the 1980s merely returning to deeply entrenched biases present through monetary and fiscal regimes since the 15th century. These trends show at best loose historical correlations with other key macro- and socio-economic variables currently in focus.



Revise and Resubmit, Review of Financial Studies.

(summary: NBER WP 29281)


NBER Working Paper 33202, Nov 2024.

CEPR DP 17858 -- January 2023.