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GOVERNMENT BOND YIELDS AT THE EFFECTIVE LOWER BOUND: INTERNATIONAL EVIDENCE

Domenico Lombardi, Pierre Siklos () and Samantha St. Amand

Contemporary Economic Policy, 2019, vol. 37, issue 1, 102-120

Abstract: Empirical evidence on the potential impact of central bank policies on government bond yields at the effective lower bound (ELB) is presented for nine economies. We quantify the content of central bank communications and consider international policy spillovers. Yields at the medium‐to‐longer end of the yield curve remain responsive to news for a few years after the ELB is reached. Yields become more sensitive to the content central bank communication at the ELB. Our results provide further evidence that central bank communication is an important element of monetary policy making when the interest rate tool loses efficacy. (JEL E52, E58, G12, F42)

Date: 2019
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https://doi.org/10.1111/coep.12238

Related works:
Working Paper: Government bond yields at the effective lower bound: International evidence (2017) Downloads
Working Paper: Government Bond Yields at the Effective Lower Bound: International Evidence (2017) Downloads
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