Government Bond Yields at the Effective Lower Bound: International Evidence

19 Pages Posted: 30 Nov 2018

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

Centre for International Governance Innovation (CIGI)

Multiple version iconThere are 2 versions of this paper

Date Written: January 2019

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. 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 provide 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 (January 2019). Contemporary Economic Policy, Vol. 37, Issue 1, pp. 102-120, 2019. Available at SSRN: https://ssrn.com/abstract=3293189 or http://dx.doi.org/10.1111/coep.12238

Domenico Lombardi (Contact Author)

CIGI ( email )

67 Erb Street West
Waterloo, Ontario N2L 6C2
Canada

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

Pierre L. Siklos

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

Centre for International Governance Innovation (CIGI) ( email )

57 Erb Street West
Waterloo, Ontario N2L 6C2
Canada

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