货币政策与长期利率的长期下降：全球视角（英）

Monetary policy and thesecular decline in long-terminterest rates: A globalperspective by Boris Hofmann, Zehao Li and Steve Pak Yeung Wu Monetary and Economic Department March 2025 JEL classification: E43, E52, F42. Keywords: monetary policy, bond yields, interest ratetrends, global financial cycle. BISWorking Papers are written by members of the Monetary and EconomicDepartment of the Bank for International Settlements, and from time to time by othereconomists, and are published by the Bank. The papers are on subjects of topicalinterest and are technical in character. The views expressed in them are those of theirauthors and not necessarily the views of the BIS. This publication is available on the BIS website (www.bis.org). ©Bank for International Settlements 2025. All rights reserved. Brief excerpts may bereproduced or translated provided the source is stated. Monetary Policy and the Secular Decline inLong-Term Interest Rates: A Global Perspective∗ Boris Hofmann†Zehao Li‡Steve Pak Yeung Wu§ 17 March 2025 Abstract We demonstrate that almost 70% of the secular decline in long-term interest rates across advancedeconomies between the early 1990s and 2023 occurred in the three days surrounding U.S. monetarypolicy announcements (FOMC windows).By contrast, other central banks’ announcements had onlylimited effects, if any, on the long-run direction of long-term interest rates, both domestically and acrosscountries. The persistent global effect of the FOMC window reflects the combination of the concentrationof declines in U.S. bond yields in this window and large interest rate spillovers from the U.S. to othercountries. We further find that the decline in interest rates during FOMC windows is closely associatedwith pure monetary policy shocks and not with information effects. Moreover, the rate decline on FOMCannouncement days is primarily driven by changes in real and expected short rates rather than inflationexpectations and term premia. These findings highlight the pivotal role of U.S. monetary policy news inshaping global long-term interest rate dynamics. Keywords:Monetary policy, bond yields, interest rate trends, global financial cycle. JEL Codes:E43, E52, F42 1Introduction Over the past three decades, long-term interest rates in major advanced economies have fallen signif-icantly.This secular decline is commonly attributed to structural factors, including falling productivitygrowth, excess global saving, demographic shifts, and a decline in capital investment opportunities (seeBernanke (2005), Carvalho et al. (2016), and Summers (2014) among others). At the same time, there is agrowing literature examining the link between long-term interest rates and monetary policy (see Cochraneand Piazzesi (2002), G¨urkaynak et al. (2005), Hanson and Stein (2015), Nakamura and Steinsson (2018),Brooks et al. (2018), Adrian et al. (2024). In a recent paper, Hillenbrand (2025) provides evidence suggestingthat, in the U.S., narrow windows surrounding monetary policy meetings account for much of the seculardecline in long-term rates over recent decades. In this paper, we empirically examine the link between long-term interest rates and monetary policyannouncements worldwide.Focusing on the 10-year government bond yields of the G10 currencies,1weshow that the global secular decline in long-term interest rates over the past three decades is largely drivenby market dynamics in the three-day windows around U.S. Federal Open Market Committee (FOMC)monetary policy announcements.Specifically, changes in long-term bond yields in FOMC announcementwindows account on average for almost 70% of the total decline in the 10-year yields of Australia, Canada,the euro area, Norway, New Zealand, Sweden, and the United States.By contrast, other central banks’announcements are generally not associated with any persistent effects on long-term interest rates, bothdomestically and internationally. Figure 1 illustrates these findings for the case of the euro area and New Zealand, the largest and smallesteconomies covered by our analysis, respectively.The charts show the cumulative daily yield changes ofthe 10-year Euro (German) and New Zealand government bond yields together with the cumulative yieldchanges over 3-day U.S. FOMC announcement windows and over the corresponding 3-day domestic centralbank announcement windows. Three key messages emerge from the data: first, there is an overall consistentdecline of 10-year bond yields; second, the cumulative decline during FOMC windows closely aligns with theoverall decline in interest rates; and third, the cumulative changes in yields during domestic central bankmonetary policy announcement windows has not contributed to the overall interest rate trend. In summary, Notes.Unit of the y-axis is percentage p.a.The sample starts from 2000, which is later than the baseline sample period inour main analysis due to the availability of non-US central bank announcement data. The figure plots