Fig. 1

Long-term global interest rates, average level and convergence measure. The upper panel shows the average, across the 17 countries of the JST database, of the 10-year nominal and real interest rates (in percentage points). The real rate is surrounded by a 95% confidence interval reflecting the uncertainty associated with the inflation-expectation filtering procedure (see Appendix A.2). This confidence interval is substantially reduced in the 80s, as survey-based forecasts then become available for several countries, which improves the quality of inflation expectations’ estimates. The lower panel illustrates the convergence of international interest rates. It displays the (time-varying) share of variances accounted for by the first principal component of the 17 interest rates, for both real and nominal interest rates. The principal component analysis is conducted over a 30-year rolling window. For instance, for 2020, it shows the share of the variances of the 17 (real or nominal) interest rates accounted for by the first principal component over 1990–2020