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

ABSTRACT

We document that changes in yields during the three‐day windows around U.S. monetary policy announcements account for roughly 70% of the secular decline in yields across G10 currencies since the 1990s. Announcements by other central banks have no comparable effects on domestic or foreign long‐term rates. The global decline reflects cumulative falls in U.S. yields and yield comovement within FOMC windows. We also find a cumulative U.S. dollar depreciation during these windows. This depreciation is associated with declines in the U.S. Treasury convenience yield even though global yield spreads relative to U.S. benchmarks remain stable.