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- New Bank of England paper explores bond bull markets since the 13th century. The current market, at 34 years, is the second longest in recorded history.
LONDON – We’re currently living through the second longest bond bull market in recorded history, and the longest since the 16th century, according to a new research paper from the Bank of England.
Written by Paul Schmelzing, a Harvard PhD candidate currently working with the bank, the paper, titled “Eight centuries of the risk-free rate: bond market reversals from the Venetians to the ‘VaR shock'” – explores hundreds of years of data around real rates and bonds.
“This paper presents a new dataset for the annual risk-free rate in both nominal and real terms going back to the 13th century. On this basis, we establish for the first time a long-term comparative investigation of ‘bond bull markets’,” Schmelzing writes.
The paper – which started out as an entry on the Bank of England’s staff blog, Bank Underground – argues that the current bull market in bonds is only surpassed by one longer period of growth in recorded history.
“The average length of bond bull markets stands at 25.8 years, and the range falls between 61 years (1451-1511) and 12 years (1718-1729). Our present real rate bond bull market, at 34 years, is already the second longest ever recorded,” Schmelzing writes.
Here’s the chart (note that blue shaded areas represent periods of bull markets):
- Bank of England