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Government Bond Yields at the Effective Lower Bound: International Evidence

Listed author(s):
  • Domenico Lombardi, Pierre Siklos, Samantha St.Amand

    ()

    (Wilfrid Laurier University)

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.

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File URL: http://www.lcerpa.org/public/papers/LCERPA_2017_3.pdf
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Paper provided by Laurier Centre for Economic Research and Policy Analysis in its series LCERPA Working Papers with number 0099.

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Date of creation: 01 Apr 2017
Date of revision: 01 Apr 2017
Handle: RePEc:wlu:lcerpa:0099
Note: LCERPA Working Paper No. 2017-3
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