Government Bond Yields at the Effective Lower Bound: International Evidence

43 Pages Posted: 20 Apr 2017

See all articles by Domenico Lombardi

Domenico Lombardi

CIGI

Pierre L. Siklos

Wilfrid Laurier University - School of Business & Economics; Balsillie school of international affairs

Samantha St. Amand

Balsillie School of International Affairs

Multiple version iconThere are 2 versions of this paper

Date Written: March 2017

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 Classification: E52, E58, G12, F42

Suggested Citation

Lombardi, Domenico and Siklos, Pierre L. and St. Amand, Samantha, Government Bond Yields at the Effective Lower Bound: International Evidence (March 2017). CAMA Working Paper No. 32/2017 . Available at SSRN: https://ssrn.com/abstract=2955483 or http://dx.doi.org/10.2139/ssrn.2955483

Domenico Lombardi

CIGI ( email )

67 Erb Street West
Waterloo, Ontario N2L 6C2
Canada

HOME PAGE: http://www.domenicolombardi.org

Pierre L. Siklos (Contact Author)

Wilfrid Laurier University - School of Business & Economics ( email )

Department of Economics
75 University Avenue W.
Waterloo, Ontario N2L 3C5
Canada
519-884-0710 Ext.. 3491 (Phone)

HOME PAGE: http://pierrelsiklos.com

Balsillie school of international affairs ( email )

67 Erb Street West
Waterloo, ON N2L 6C2
Canada

Samantha St. Amand

Balsillie School of International Affairs

67 Erb Street West
Waterloo, ON N2L 6C2
Canada

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