Since the 1980s, interest rates have declined in many of the world's advanced economies. Concurrently, capital's share of income and both income and wealth inequality have risen. Although there is a growing literature on the relation between monetary policy and inequality, no study has yet to look at income and wealth inequality across multiple samples simultaneously. Using a century of data covering the US, France, and the UK, a panel of eight countries over the period 1960-2010, and a panel of 41 countries over the period 2000-2014, I estimate local projections and find that increases in long-term interest rates always decrease inequality regardless of how it is measured. This result is robust to the choice of country and time period. Increases in capital's share increase income inequality, but the impact of capital's share on wealth inequality is sensitive to the sample chosen.
JEL: D31, E25, E52
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