Monetary policy statements, treasury yields, and private yields: Before and after the zero lower bound

Monetary policy actions since 2008 have influenced long-term interest rates through forward guidance and quantitative easing. We examine whether the effect of such actions on Treasury yields have passed through to private yields to a degree comparable to experience before 2008. We illustrate the possibility of misleading inference from least squares regressions, and our empirical results find evidence for such misleading effects. Implementation of our instrumental variables strategy suggests that the movements in Treasury yields induced by monetary policy statements have passed through to private yields, but to a smaller degree than typical prior to the end of 2008.