An international analysis of the trend five‐year government bond rate

Bibliographic Data

ID10494010
AuthorsMeredith Beechey (0009-0003-4295-2333, Reserve Bank of Australia Sydney New South Wales Australia), Pär Österholm (0000-0002-4840-7649, School of Business, Örebro University Örebro Sweden), Aubrey Poon (0000-0003-2587-8779, School of Economics University of Kent Canterbury UK)
Year2025
Volume72
Issue3
Publication date2025-04-17
Open AccessYes
TypeARTICLE
VenueScottish Journal of Political Economy (JOURNAL)
Journal identifiersISSN: 0036-9292 • E-ISSN: 1467-9485
PublisherWiley (PUBLISHER • GB)
DOI10.1111/sjpe.12381
OpenAlexW4409549631
LanguageEN
References cited30

Employing an unobserved components stochastic volatility model, we estimate the trend 5‐year government bond rate in Canada, Norway, Sweden, Switzerland, the United Kingdom and the United States. Our results suggest that the estimated trend rate has decreased substantially between 2000 and 2020 in all six countries. In Norway, Switzerland and the United Kingdom, the trend rate has increased non‐negligibly since 2020; in Canada, Sweden and the United States, the trend rate has not been affected much by the increase in the actual 5‐year government bond rate. At the end of the sample, none of the countries has a trend rate higher than 3%. The model hence suggests that the 5‐year government bond rate will be fairly low in the medium‐to‐long run

Bond · Econometrics · Economics · Government (linguistics · Government bond · Monetary economics · Credit Risk and Financial Regulations · Finance · Global Financial Crisis and Policies · Monetary Policy and Economic Impact · Philosophy

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Open DOIOpen Access