Government bond yields at the effective lower bound: International evidence

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.