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Government Bond Yields at the Effective Lower Bound: International Evidence

Author

Listed:
  • Domenico Lombardi
  • Pierre L. Siklos
  • Samantha St. Amand

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.

Suggested Citation

  • Domenico Lombardi & Pierre L. Siklos & Samantha St. Amand, 2017. "Government Bond Yields at the Effective Lower Bound: International Evidence," CAMA Working Papers 2017-32, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    • Handle: RePEc:een:camaaa:2017-32
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    File URL: https://crawford.anu.edu.au/sites/default/files/2025-02/32_2017_lombardi_siklos_amand.pdf
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    Cited by:

    1. Siklos, Pierre L., 2018. "Boom-and-bust cycles in emerging markets: How important is the exchange rate?," Journal of Macroeconomics, Elsevier, vol. 56(C), pages 172-187.

    More about this item

    JEL classification:

    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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