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This paper revisits the economic theory of the interest rates and presents some estimation results obtained on annual macroeconomic data for a panel of OECD countries. The conventional macroeconomic theory based on the saving investment balance falls short of producing a consistent picture for the medium-term trends of the interest rates and related variables. The main reason lies in the fact that the usual propensity to save specification does not account for the observed saving behavior, and it turns out that an intertemporal approach works better. Some other extensions of the basic model are also discussed to account for the external influence and the risk premia on public bonds. Based on this theoretical discussion, an econometric relation is estimated on annual data for a panel of 19 OECD countries. The tests confirm the influence of the factors suggested by the theory and, in particular, the link between the fall in the interest rate and the economic slowdown. The role of the inflation expectations, of the real exchange rate and of the risk premia on public debt is also discussed and clarified. ; Cet article revient sur la théorie économique des taux d'intérêt et présente quelques résultats d'estimations économétriques sur données annuelles pour un panel de pays de l'OCDE. La théorie macroéconomique conventionnelle fondée sur l'équilibre épargne-investissement ne rend pas compte de manière cohérente des évolutions à moyen terme des taux d'intérêt et des variables macroéconomiques associées. La principale raison réside dans le fait que la notion keynésienne de propension à épargner ne permet pas de comprendre les comportements d'épargne observés. Pour cela, une approche intertemporelle apparaît mieux appropriée. On discute également d'autres extensions du modèle de base pour tenir compte des influences extérieures et des primes de risque sur les obligations publiques. Sur la base de cette discussion théorique, on estime une relation économétrique sur des données annuelles pour un panel de 19 pays de l'OCDE. ...

The interest rates have remained low in recent years, after long decline over the past thirty-five years in OECD countries. This evolution is associated to a slowdown of output growth, while inflation stabilized around its two percent target. In trying to provide a better understanding on how we got there, we review the macroeconomic developments during almost sixty years. Conventional analysis of the role of macroeconomic policy does not provide a satisfactory explanation of the observed long-term trends. In particular, large fiscal deficits and growing debt ratios did not lead to higher interest rates, except in a few countries, whose governments were facing serious fiscal troubles. Conservative monetary policy can explain the low level of inflation that have prevailed since the middle of the eighties, but not the continuous decline of the real interest rate. Based on a few stylized facts we suggest a direction for a plausible characterization of a low growth / low interest rate regime

The interest rates have remained low in recent years, after long decline over the past thirty-five years in OECD countries. This evolution is associated to a slowdown of output growth, while inflation stabilized around its two percent target. In trying to provide a better understanding on how we got there, we review the macroeconomic developments during almost sixty years. Conventional analysis of the role of macroeconomic policy does not provide a satisfactory explanation of the observed long-term trends. In particular, large fiscal deficits and growing debt ratios did not lead to higher interest rates, except in a few countries, whose governments were facing serious fiscal troubles. Conservative monetary policy can explain the low level of inflation that have prevailed since the middle of the eighties, but not the continuous decline of the real interest rate. Based on a few stylized facts we suggest a direction for a plausible characterization of a low growth / low interest rate regime

This paper revisits the economic theory of the interest rates and presents some estimation results obtained on annual macroeconomic data for a panel of OECD countries. The conventional macroeconomic theory based on the saving investment balance falls short of producing a consistent picture for the medium-term trends of the interest rates and related variables. The main reason lies in the fact that the usual propensity to save specification does not account for the observed saving behavior, and it turns out that an intertemporal approach works better. Some other extensions of the basic model are also discussed to account for the external influence and the risk premia on public bonds. Based on this theoretical discussion, an econometric relation is estimated on annual data for a panel of 19 OECD countries. The tests confirm the influence of the factors suggested by the theory and, in particular, the link between the fall in the interest rate and the economic slowdown. The role of the inflation expectations, of the real exchange rate and of the risk premia on public debt is also discussed and clarified. ; Cet article revient sur la théorie économique des taux d'intérêt et présente quelques résultats d'estimations économétriques sur données annuelles pour un panel de pays de l'OCDE. La théorie macroéconomique conventionnelle fondée sur l'équilibre épargne-investissement ne rend pas compte de manière cohérente des évolutions à moyen terme des taux d'intérêt et des variables macroéconomiques associées. La principale raison réside dans le fait que la notion keynésienne de propension à épargner ne permet pas de comprendre les comportements d'épargne observés. Pour cela, une approche intertemporelle apparaît mieux appropriée. On discute également d'autres extensions du modèle de base pour tenir compte des influences extérieures et des primes de risque sur les obligations publiques. Sur la base de cette discussion théorique, on estime une relation économétrique sur des données annuelles pour un panel de 19 pays de l'OCDE. Les tests confirment l'influence des facteurs suggérés par la théorie et, en particulier, le lien entre la baisse du taux d'intérêt et le ralentissement économique. Le rôle de l'inflation anticipée, du taux de change réel et des primes de risque est aussi discuté et clarifié