Riskless interest rates fell in the wake of the financial crisis and have remained low. We explore a simple explanation: this recession was perceived as an extremely unlikely event before 2007. Observing such an episode led all agents to reassess macro risk, in particular the probability of tail events. Since changes in beliefs endure long after the event itself has passed, perceived “tail risk” remains high, generates a demand for riskless liquid assets, and continues to depress the riskless rate. We embed this mechanism into a simple production economy with liquidity constraints and use observable macro data, along with standard econometric tools, to discipline beliefs about the distribution of aggregate shocks. When agents observe an extreme adverse realization, they reestimate the distribution and attach a higher probability to such an event recurring. As a result, even transitory shocks have persistent effects because once observed, the shocks stay forever in the agents’ data set. We show that our belief revision mechanism can help explain the persistent nature of the fall in risk-free rates.

中文翻译：

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保持无风险利率低的尾巴

金融危机后无风险利率下降，并保持在低位。我们探索一个简单的解释：在 2007 年之前，这次衰退被认为是极不可能发生的事件。观察到这样的事件导致所有代理人重新评估宏观风险，特别是尾部事件的可能性。由于信念的变化在事件本身过去很久之后仍然存在，因此感知到的“尾部风险”仍然很高，产生了对无风险流动资产的需求，并继续压低无风险利率。我们将这种机制嵌入到一个具有流动性限制的简单生产经济中，并使用可观察的宏观数据以及标准的计量经济工具来规范有关总体冲击分布的信念。当代理人观察到极端不利的实现时，他们重新估计分布，并赋予此类事件重复发生的更高概率。因此，即使是短暂的冲击也会产生持久的影响，因为一旦观察到，冲击就会永远留在代理的数据集中。我们表明，我们的信念修正机制可以帮助解释无风险利率下降的持续性。