Asset pricing models predict a strong connection between the real risk-freeinterest rate and the macroeconomy, but prior research finds little empiricalsupport for the connection when examining expected growth. This paper documentsa robust relation between the interest rate and macroeconomic uncertainty (i.e.,conditional variance). Consistent with precautionary savings, high uncertaintyis associated with a low interest rate using numerous data sources, timeperiods, and measures. A relation between habit and the interest rate disappearsafter including uncertainty, and the relation is stronger using long-rununcertainty. The results imply that analyses of the interest rate withoutuncertainty are seriously incomplete.

中文翻译：

---

经济不确定性和利率

资产定价模型预测了真实的无风险利率与宏观经济之间的紧密联系，但是先前的研究发现，在检查预期增长时，没有任何实证支持。本文记录了利率与宏观经济不确定性（即条件方差）之间的稳健关系。与预防性节省相一致，不确定性高与使用大量数据源，时间周期和度量的低利率有关。习惯和利率之间的关系在包括不确定性后消失，而使用长期不确定性则该关系更强。结果表明，利率不确定性分析严重不完整。