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）

BIS Working Papers No 1252 Monetary policy and the secular decline in long-term interest rates: A global perspective 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 rate trends, global financial cycle. BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and from time to time by other economists, and are published by the Bank. The papers are on subjects of topical interest and are technical in character. The views expressed in them are those of their authors 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 be reproduced or translated provided the source is stated. ISSN 1020-0959 (print) ISSN 1682-7678 (online) Monetary Policy and the Secular Decline inLong-Term Interest Rates: A Global Perspective∗Boris Hofmann†Zehao Li‡Steve Pak Yeung Wu§17 March 2025AbstractWe 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∗We are grateful to Dun Jia, Peter H¨ordahl, John Rogers, Phurichai Rungcharoenkitkul, Andreas Schrimpf, Eric Swanson,and Yicheng Wang for helpful discussions. All errors are ours. Li is funded by the National Natural Science Foundation ofChina No. 72173111. The views expressed in this paper are those of the authors and not necessarily those of the Bank forInternational Settlements.†Bank for International Settlements. Email: boris.hofmann@bis.org.‡Chinese University of Hong Kong, Shenzhen. Email: lizehao@cuhk.edu.cn.§University of California, San Diego. Email: stevepywu@gmail.com.1IntroductionOver the past three decades, long-term interest rates in major advanced econom