The effect of policy regime changes on real interest rates has important im
plications for financial and economic theory. However, there is little curr
ent evidence that such changes have any impact on the level of real interes
t rates. In this paper, we estimate both the number and location of structu
ral breaks in the three-month U.S. real interest rate using a global optimi
zation technique developed by Bai and Perron (1998). We compare the timing
of large political changes to the dating of these structural breaks. We fin
d that changes in party control of either a branch of Congress or the presi
dency are largely consistent with the timing of real rate shifts, while cha
nges in the Federal Reserve chair are generally inconsistent with real rate
regime shifts.