国际清算银行-货币政策与长期利率的长期下降_全球视角（英）-2025.3_74页_16mb

Monetary Policy and the Secular Decline in Long-Term Interest Rates: A Global Perspective

Authors: Boris Hofmann†, Zehao Li‡, Steve Pak Yeung Wu§
Date: 17 March 2025

Overview

This paper examines the link between global long-term interest rates and U.S. Federal Open Market Committee (FOMC) monetary policy announcements. It finds that FOMC announcements significantly drive the secular decline in long-term interest rates across G10 economies, while announcements from other central banks have minimal effects.

Key Findings

• FOMC announcement windows (three days around each meeting) explain approximately 70% of the total decline in 10-year government bond yields across advanced economies since the early 1990s.
• The decline is attributed to pure monetary policy shocks rather than information effects, particularly changes in expected short-term interest rates.
• U.S. monetary policy spillovers are substantial and persistent, influencing global interest rate trends but not other central banks' announcements.
• Other central banks' announcements have little to no enduring effect on domestic or international long-term interest rates.

Methodology

• Employs high-frequency yield data and decomposes yield changes using purified monetary policy shocks.
• Conducts panel regressions and placebo tests to establish statistical significance.
• Models long-term interest rates using affine term structure models, separating risk-neutral rates and term premia.

Conclusion

U.S. monetary policy actions, not information, are the primary driver of the global secular decline in long-term interest rates. These findings underscore the importance of U.S. policy in shaping international financial market dynamics.