Implications of Returns on Treasury Inflation-Indexed Securities for Projections of the Long-Term Real Interest Rate. Research Paper No. 2006-01.

摘要

This paper updates and extends previous work which considers the real interest rate on the Social Security Trust Fund. The paper adds 2005 data to the previous extensive historical series, and the resulting average long-term government real interest rate back through 1870 is just under 3 percent. Over the last 40 years or so, the Trust Fund rate has been about 24 basis points below the long-term government rate. The paper then extends previous work by using yield curves for Treasury inflation-indexed securities (TIPS) to develop forward-looking market projections for the real return on a hypothetical trust fund made up of TIPS. The comparable average real return on the hypothetical trust fund is roughly estimated to be around 2-3/4 percent.