Government bond yields at the effective lower bound: International evidence

Domenico Lombardi, Pierre Siklos and Samantha St. Amand

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

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. At the ELB, 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 provides further evidence that central bank communication is an important element of monetary policy making when the interest rate tool loses efficacy.

JEL-codes: E52 E58 F42 G12 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2017-04
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (1)

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https://cama.crawford.anu.edu.au/sites/default/fil ... rdi_siklos_amand.pdf (application/pdf)

Related works:
Journal Article: GOVERNMENT BOND YIELDS AT THE EFFECTIVE LOWER BOUND: INTERNATIONAL EVIDENCE (2019)
Working Paper: Government Bond Yields at the Effective Lower Bound: International Evidence (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2017-32

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