【国际清算银行】货币政策与长期利率的长期下降：全球视角-2025.3

byBorisHofmann,ZehaoLiandStevePakYeungWuMarch2025JELclassification:E43,E52,F42.Keywords:monetarypolicy,bondyields,interestratetrends,globalfinancialcycle.BISWorkingPapersarewrittenbymembersoftheMonetaryandEconomicDepartmentoftheBankforInternationalSettlements,andfromtimetotimebyothereconomists,andarepublishedbytheBank.Thepapersareonsubjectsoftopicalinterestandaretechnicalincharacter.TheviewsexpressedinthemarethoseoftheirauthorsandnotnecessarilytheviewsoftheBIS.ThispublicationisavailableontheBISwebsite().©BankforInternationalSettlements2025.Allrightsreserved.Briefexcerptsmaybereproducedortranslatedprovidedthesourceisstated.ISSN1020-0959(print)ISSN1682-7678(online)MonetaryPolicyandtheSecularDeclineinLong-TermInterestRates:AGlobalPerspective*AbstractWedemonstratethatalmost70%oftheseculardeclineinlong-terminterestratesacrossadvancedeconomiesbetweentheearly1990sand2023occurredinthethreedayssurroundingU.S.monetarypolicyannouncements(FOMCwindows).Bycontrast,othercentralbanks’announcementshadonlylimitedeffects,ifany,onthelong-rundirectionoflong-terminterestrates,bothdomesticallyandacrosscountries.ThepersistentglobaleffectoftheFOMCwindowreflectsthecombinationoftheconcentrationofdeclinesinU.S.bondyieldsinthiswindowandlargeinterestratespilloversfromtheU.S.toothercountries.WefurtherfindthatthedeclineininterestratesduringFOMCwindowsiscloselyassociatedwithpuremonetarypolicyshocksandnotwithinformationeffects.Moreover,theratedeclineonFOMCannouncementdaysisprimarilydrivenbychangesinrealandexpectedshortratesratherthaninflationexpectationsandtermpremia.ThesefindingshighlightthepivotalroleofU.S.monetarypolicynewsinshapinggloballong-terminterestratedynamics.Keywords:Monetarypolicy,bondyields,interestratetrends,globalfinancialcycle.JELCodes:E43,E52,F42*WearegratefultoDunJia,PeterH“ordahl,JohnRogers,PhurichaiRungcharoenkitkul,AndreasSchrimpf,EricSwanson,andYichengWangforhelpfuldiscussions.Allerrorsareours.LiisfundedbytheNationalNaturalScienceFoundationofChinaNo.72173111.TheviewsexpressedinthispaperarethoseoftheauthorsandnotnecessarilythoseoftheBankforInternationalSettlements.tBankforInternationalSettlements.Email:boris.hofmann@.‡ChineseUniversityofHongKong,Shenzhen.Email:lizehao@.§UniversityofCalifornia,SanDiego.Email:stevepywu@.11IntroductionOverthepastthreedecades,long-terminterestratesicantly.Thisseculardeclineiscommonlyattributedtostructuralfactors,includingfallingproductivitygrowth,excessglobalsaving,demographicshifts,andadeclineincapitalinvestmentopportunities(seeBernanke(2005),Carvalhoetal.(2016),andSummers(2014)amongothers).Atthesametime,thereisagrowingliteratureexaminingthelinkbetweenlong-terminterestratesandmonetarypolicy(seeCochraneBrooksetal.(2018),Adrianetal.(2024).Inarecentpaper,Hillenbrand(2025)providesevidencesuggestingthat,intheU.S.,narrowwindowssurroundingmonetarypolicymeetingsaccountformuchofthesecularInthispaper,weempiricallyexaminethelinkbetweenlong-terminterestratesandmonetarypolicyannouncementsworldwide.Focusingonthe10-yeargovershowthattheglobalseculardeclineinlong-terminterestratesoverthepastthreedecadesislargelydrivenbymarketdynamicsinthethree-daywindowsaroundU.S.FederalOpenMarketCommittee(FOMC)monetarypolicyannouncements.Specifically,changesinlong-termbondyieldsinFOMCannouncementwindowsaccountonaverageforalmost70%ofthetotaldeclineinthe10-yearyieldsofAustralia,Canada,theeuroarea,Norway,NewZealand,Sweden,andtheUnitedStates.Bycontrast,othercentralbanks’announcementsaregenerallynotassociatedwithanypersistenteffectsonlong-terminterestrates,bothdomesticallyandinternationally.Figure1illustratesthesefindingsforthecaseoftheeuroareaandNewZealand,thelargestandsmallesteconomiescoveredbyouranalysis,respthe10-yearEuro(German)andNewZealandgovernmentbondyieldstogetherwiththecumulativeyieldchangesover3-dayU.S.FOMCannouncembankannouncementwindows.Threekeymessagesemergefromthedata:first,declineof10-yearbondyields;second,thecumulativedeclineduringFOMCwindowscloselyalignswiththeoveralldeclineininterestrates;andthird,thecumulativechangesinyieldsduringdomesticcentralbankmonetarypolicyannouncementwindowshasnotcontributedtotheoverallinterestratetrend.Insummary,1TheG10currenciesincludetheAustralianDollar,theCanadianDollar,theSwissFranc,theEuro,theBritishPound,theJapaneseYen,theNorwegianKrone,theSwedishKrona,andtheU.S.Dollar.WeuseGermanbondyieldsfortheEuro.Ourstudyfocusesonthe10-yearbondyieldbecauseitisthelongestmaturitycommonlyavailableacrosscurrencies.22020002005201020152020202520200020052010201520202025Figure1:Cumulativechangesinnominal10-yearEuro(German)andNewZealandgovernmentbondyieldsduringFOMCanddomesticmonetarypolicyannouncementwindows.Notes.Unitofthey-axisispercentagep.a.Thesamplestartsfrom2000,whichislaterthanthebaselinesampleperiodinourmainanalysisduetotheavailabilityofnon-UScentralbankannouncementdata.Thefigureplotsthecumulativesumofthedailychangesinthe10-yearyieldoverthefullsampleormonetarypolicyannouncementwindows.“Alldates”referstotheactualyield,“FOMC”representsthree-daywindowsaroundFOMCannouncements,and“Dom.CB”representsthree-daywindowsarounddomesticmonetarypolicyannouncements.theseculardeclineinlong-terminterestratesisprimarilylinkedtoU.S.monetarypolicyannouncementsbutnottodomesticpolicyannouncements.Theseresultsalignwithwell-documentedinternationalmonetarypolicyspilloversbuthighlightanim-portantdistinction:whilemonetarypolicyannouncementsfrommajornon-U.S.centralbanksalsogeneratecross-countryeffects(Kearnsetal.(2023)),onlyFOMCannouncementsareassocialong-termdeclineinglobalinterestrates.Incontrast,non-U.S.centralbankannouncementstendtopro-ducecyclicalorevenrisingcumulativeeffects,differentfromthepersistentdownwardtrendinobservedyields.Thisfindingresultsfromthecombinationoftwoeffects:thelargeandsignificantinterestratespilloversfromtheU.S.toothercountries(seee.g.Obstfeld(2015),HofmannandTakats(2015),Kearnsetal.(2023),Albaglietal.(2019))andthelargecumulativenegativeeffectofFOMCannouncementsonU.S.long-termbondyieldspreviouslydocumentedbyHillenbrand(2025)andalsodemonstratedhere.ToexaminetheunderlyingchannelslinkingglobalinterestratestoFOMCannouncements,weassesterminterestratedynamicsfromdifferentperspectives.WebeginbyevaluatingwhetheryieldmovementsduringFOMCannouncementwindowsaredrivenbynewsaboutthesettingofpolicyrates(monetarypolicyshock)ornewsaboutthemacroeconomicoutlookinferredfromthepolicydecision(informationshock).3Utilizingstate-of-the-arthigh-frequencyshocksfromJaroci´nskiandKaradi(2020),Buetal.(2021),andAcosta(2023),wefindthatthedeclineininterestratesduringFOMCwindowscloselyalignswiththe“pu-rified”monetaryshockseriesthatisfreeofthe“Fedinformationeffect”.Regressionsofthecumulativeyieldchangeonthedecompositionofthe“purified”monetaryshockandFedinformationshockfromJaroci´nskiandKaradi(2020)showthatthe“purified”monetaryshockexplainssubstantiallymorevariationintheyieldchangethantheinformationshock.InlightofSwansonandJayawickrema(2023),whohighlightthemarketimpactofFederalReserveChairasanotherproxyfortheinformationchannelaspolicyratedoesnotchangewhentheChairdeliverstheeeches.Intermsofmeanabsolutevaluesandstandarddeviationofdailyyieldchanges,ourfirG10currencyyieldsareconsistentwiththoseofSwansonandJayawickrema(2023).However,wbondyieldsfluctuatesignificantlyduringFedChairspeechdays,thecumulativedailychangesinthethree-dayspeechwindowhardlyaccountforanyoftheseculardeclineinworldinterestratesoverthepastthreedecades.Thissuggeststhatwhiletheinformationchannelmaydriveshort-termfluctuations,itdoesnotexplainthelong-termtrendinglobalinterestrates.Wefurtherinvestigatethecontributionsofchangesinshort-rateexpectationsandintermpremiatothecumulativeresponsesoflong-terminterestratestoU.S.monetarypolicyannouncements.UsingadynamictermstructuremodelincorporatingtrendsasoutlinedbyBauerandRudebusch(2020),weestimatedailyrisk-neutralratesandtermpremiaforeachcountry.Ouranalysisyieldstwokeyresults.First,thepersistentdeclineinglobalinterestratesduringFOMCannouncementwindowsisprimarilydrivenbyreductionsinrisk-neutralrates,whiletermpremiaremainstationaryduringtheseperiods.Second,FOMCwindowsaccountforover85%ofthetotalvariationinworld10-yearrisk-neutralratesacrossalldates.ConsistentwithAlbaglietal.(2019),thisfindinghighlightsasignificantrisk-neutralratechannelinmonetarytransmissiondrivingtheseculardeclineingloballong-terminterestrates.Finally,whileourmainresultsfocusonnominalyields,wedemonstratethatsimilarfindingsholdforrealratesusingdatafrominflation-protectedsecurities.ThecumulativeimpactofFOMCnewsonglobalinterestrateshashencebeendrivenbydeclinesinlong-termrealinterestrates,ratherthaninflationexpectations.4LiteraturereviewSincetheseminalworkbyKuttner(2001),BernankeandKuttner(2005),Gu…rkaynaketal.(2005),Gu…rkaynaketal.(2005),andGertlerandKaradi(2015),arichbodyofliteraturehasleverchangesininterestratesorinterestratefuturestoidentifymonetarypolicyshocksandassesstheireffectsvariouseconomicvariables.ImportantrandSwanson(2023b),Jaroci´nskiandKaradi(2020),Altavillaetal.(2019),Buetal.(2021),Acosta(2023)andBoehmandKroner(2024).Thesecontributionsenhanceourunderstandingofhowmonetarypolicyimpactsfinancialmarketsandthebroadereconomy.OurpaperiscloselyrelatedtotheworkofHillenbrand(2025),whodemonstratedthatthethree-daywindowsurroundingFOMCmonetarypolicyannouncementdatesaccountsformuchoftheseculardeclineinlong-terminterestratesintheU.S.Wcontributionstothisliterature.First,wesystematicallystudytheeffectsofmonetarypolicyonlong-inexplainingtheglobalseculartrendininterestrates,whileannouncementsfromothercentralbanksdonatureoftherelationshipbetweenmonetarypolicyannouncementsandtheseculardeclineininterestrates.Specifically,wefindthatthisrelationshipcannotbeexplainedbyinformationchannels,termpremiums,orinflationexpectations.Inessence,ouranalysispandHansonandStein(2015)butinsteadinvestigatesthecumulativeThispaperfurthercontributestotheextensiveliteratureonmonetarypolicyspillovers.MuchoftheCalvoetal.(1993)andMackowiak(2007),examinethespillovereffectsonemergingeconomies,whileKimandRoubini(2001)andKim(2007)emphasizetheeffectsonadvancedeconomicycleliterature,pioneeredbyRey(2013),identifiesU.S.monetarypolicyshocksasacriticalglobalfactordrivingriskyassetpricesworldwide.ThisworkhasbeenexpandedbyimportantstudiesincludingObstfeld(2015),HofmannandTakats(2015),Miranda-AgrippinoandRicco(2021),Albaglietal.(2019),Dedolaetal.(2017),Gilchristetal.(2019),Miranda-AgrippinoandRey(2020),andBrusaetal.(2020),whofocusontheroleoftheFederalReserveingeneratingglobalmonetarypolicyspillovers.Additionally,GerkoandRey(2017),Jaroci´nski(2022),Miranda-AgrippinoandNenova(2022),andKearnsetal.(2023)highlightthatalsoothermajorcentralbanksbesidestheFederalReserve,inparticulartheEuropeanCentralBank,5caninducesignificantcross-bordermonetarypolicyspillovers.Ratherthanexamininghowidentifiedshocksdriveshort-termfluctuationsinassetprices,thispaperintroducesanovelperspectivebyinvestigatingtheassociationbetweenmonetarypolicyandlong-termtrendsinglobalbondyields.Ouranalysisisfurtherconnectedtotheliteratureontheseculardeclineofthenaturalrateofinterest,definedastheleveloftherealinterestratethatwillprevailinsteadystate.2Thisliteratureidentifiesseveralkeymacroeconomicandfinancialdrivers.Demographicshifts,particularlychangesinfertilityandmortalityrates,significantlyinfluencethenaturalratebyaffectingeconomicgrowth,dependencyratios,andaggregatesavingforretirement(Auclertetal.(2021);Carvalhoetal.(2016);Gagnonetal.(2021)).Onthefinancialside,internationalcapitalflowsandthescarcityofsafeassetsarecriticalfactors.Emergingmarketsofferalternativeinvestmentopportunities,raisingnaturalratesinadvancedeconomies(Obstfeld(2023)),whilethelimitedsupplyofsafeassets—especiallyU.S.governmentbonds—pushesuptheir(Bernanke(2005);B´ar´anyetal.(2023);Caballeroetal.(2008);DelNegroetal.(2017);KrishnamurthyandVissing-Jorgensen(2012)).Additionally,marketpowerplaysarole,asincreasedcfutureinvestmentdemandwhileredirectingdividendsfromlabortocapitalowners,leadingtomixedeffectsonthenaturalrate(BallandMankiw(2023);Eggertssonetal.(2019);PlatzerandPeruffo(2022)).Finally,productivitygrowth,byincreasingthemarginalproductofcapital,raisesinterestratestoincentivizelending(Cesa-Bianchietal.(2022);Mankiw(2022)).Whilewedonotdirectlyestimatenaturalratesinthispaper,weintroduceanewmonetaryperspectivetothedebateregardingthedriversofthetrendinequilibriumlong-terminterestrates.Theremainderofthepaourbaselineempiricalmethodsandfindings,assessingthecumulativeeffectsofG10currencycentralbanks’monetarypolicyannouncementsoninternationalsovereignyieldsSection4assesstheroleofpuremonetarypolicyvsinformationeffectsindrivingtheglobaleffectsofFOMCannouncements.Section5investigatestheroleofrisk-neutralratesandtermpremiaindrivingtheoverallresponseoflong-termbondyieldstoFOMCnews.Section6investigatesthecumulativeeffectsofFOMCannouncementsonrealinterestrates.Finally,Section7examinesthestatisticalsignificanceofcumulativeFOMCannouncementseffectsbasedon2Forarecentassessmentoftheconcept,seeBenignoetal.(2024).62Data2.1DailysovereignyieldsOurmainsourceofdailysovereignyieldsisBloomberg,followingDuetal.(2018).Ouranalysisfocusesonthe10-yearyield,butourfindingsextendtoothermaturities.Moreover,werelyontheentireyieldcurvedatatoestimatechangesintheexpectedinterestratesandtermpremiaduringmonetarypolicyannouncementwindows.TheFederalReserveBoardandtheBankofEnglandprovidedailysovereignyieldsontheirwebsiteswithstartingdatesearlierthantheBloombergdata.Inthiscase,weusetheyieldcurvedataprovidedbythecentralbank.Table1summarizesthesourcesofdailysovereignyieldsandtherespectivestartingdates.Foreachcountry,theBloombergyieldcurvedatasetcontainsmaturitiesof3(2007)(GSW)coversmaturitiesfrom1yearto30yearswithyearlyincrements.WeaugmenttheGSWyieldcurvedatawith3-monthand6-monthinterestratedatafromtheFRED.FortheU.S.,weselectthesamematuritiesasBloombergtobeconsistentwithothercountries.ForNorway,whiletheBloombergdatasetbeginsin1998andlacksobservationsbetweenNovember2012andApril2014,IprovidesdailyNorwegian10-yearyielddatadatingbacktoFebruary18,1994.WecomplementtheBloombergdatawiththissourcetocreatealongerandmorCountryAbbreviationStartAustraliaAUDBloombergCADBloombergSwitzerlandCHFBloombergGermanyEURBloombergU.K.GBPBankofEnglandJPYBloombergNorwayNOKBloomberg(after1998)&INZDBloombergSEKBloombergU.S.A.USDNotes:AllchartsstartfromthefirstFOMCdate(June5,1989)orthefirstdatethe72.2CentralbankannouncementsFOMCannouncementdates.TheFederalOpenMarketCommittee(FOMC)isinchargeofconductingU.S.monetarypolicy.Since1981,ithastypicallyheldeightscheduledmeetingsperyear.Mostmonetaryunscheduledmeetings.Incactionsorastatement.Thepubliclearnedaboutthesemeetingswithasignificanttimelag.ThesemeetingsarethereforeexcludedfromourlistofFOMCannouncementdates.InlinewithHillenbrand(2025),ourFOMCannouncementdatescorrespondtothetimewhenthepublicreceivedinformationaboutthemeetings.Before1994,changesinmonetarypolicyweretypicallydisclosedtothemarketonedayafterthemeetingthroughopenmarketoperations.Therefore,fordatesbefore1994,werelyonthedatesthatthemarketassociatedwithamonetarypolicychange,asidentifiedbyKuttner(2001,2003).OurfirstFOMCannouncementwindowisinJune1989.After1994,monetarypolicydecisionswerepredominantlymadeduringscheduledFOMCmeetings,withtheFedreleasingastatement.Consequently,weutilizethepublicationdatesofthesestatementsasFOMCannouncementdate.InAppendixA,welisttheallFOMCannouncementdatescoveredbyouranalysFedchairspeeches.WeBoard’sofficialwebsite:/newsevents/speeches.htm.ThewebsitedocumentsthedatesofspeechesbytheFederalReserveBoardChSwansonandJayawickrema(2023)demonstratethatthespeechesbytheChairaremuchmoreithanthosebytheViceChairorotherofficialsforinterestratesandstockprices,sowefocusonworldinterestratedynamicsaroundtheChaOthercentralbanks’monetarypolicyannouncements.Wheneverpossible,wecollectmonetarypolicyannouncementdatesfromtherespectivecentralbank’swebsite.WesupplementthesesourceswithrecordsfromIandverifythatthelattercoincidewiththeofficialcentralbankcalendarwhenthetwosamplesoverlap.Mostofthemonetarypolicyannouncementsamplesstartin2000,withthelateststartingdatebeingSeptember16,2004,fortheSwissNationalBank.AsalreadyhighightedbyAlbaglietal.8(2019),thenon-U.S.monetarypolicyannouncementdatesseldomcoincidewithFOMCmonetarypolicy3Monetarypolicyannouncementsandlong-terminterestratesWeexaminethedynamicsof10-yeargovernmentbondyieldsduringdifferenteventwindows.Thesampleperiodisdividedintotwoparts:centralbankmonetarypolicyannouncementwindows(MPwindows)andnon-monetarypolicyannouncementwindows(non-MPwindows).WhentheFederalReserveisthecentralbankofconcern,werefertotheseasFOMCwindowsandnon-FOMCwindows.FollowingHansonandStein(2015)andHillenbrand(2025),wedefinemonetarypolicy(MP)windowsasthedayst−1,t,t+1surroundingeachmonetarypolicyannouncementdatet,withnon-monetarypolicyannouncementwindowsencompassingtheremainingdays.Wecumulativelysumthedailyyieldchangesofthe10-yeargovebondyieldovereacheventwindow.Duetodataavailability,mostofouranalysisfocusesonnominalyieldstomaintainalongersample,whileSection6isdedicatedtorealyieldsusinginflation-protectedbonds.wheretandsdenotedailydates,t0isthefirstdateofthesample,ysisthen-yearTreasuryzerocouponyieldondates,1s∈WisanindicatorfunctionforthesetW,andW∈{MP,nonMP}iseitherthesetofmonetarypolicyannouncementwindowdatesorremainingdatesoutsideofcentralbankmonetarypolicyannouncementwindows.Sincethetwoeventwindowsaredisjointandspanthefullsample,foreachtimet,thetotalchangeintheyieldrelativetotheinitialvalueequalsthecumulativesumofyieldchangesovertheMPwindowsplusthecumulativesumofyieldchangesoverthenon-MPwindows:yt−y0=▽y=▽y+▽y(2)Intherestofthepaper,wesubtracttheinitialvaluesfromtheobservedyields,sothat▽yandyt93.1FOMCAnnouncementsInFigure2,weplotthecumulativesumofdailychangesinthe10-yeargovernmentyieldsduringFOMCwindowsfortheG10currencycountries.Foreachcountry,thebluelinerepresentstheobservedcumulayieldchangeuptotimet,theredlineindicatesthecumulativeyieldchangewithinFOMCwindows,andtheblacklinereflectsthecumulativeyieldchangeduringnon-FOMCwindows.Atanytimet,thecumulativechangeswithinFOMCandnon-FOMCwindowstogetherequaltheobservedcumulativeyieldchange(redline+blackline=blueline).Thebluelinesdepictthecumulativechangesinobservedyieldsrelativetotheinitialvalue,showingcountriesisapproximately4.7percentagepoints.Thesetrendsalignwithasubstantialbodyofliteraturedocumentingtheseculardeclineoflong-terminterestratesandthenaturalinterestrate,r*.AstrikingpatternemergesfromthedecompositionofthetotalyieldchangeintoFOMCwindowandnon-FOMCwindowchanges.AsnotedbyHillenbrand(2025),thedeclineinthe10-yearU.S.TreasuryyieldisprimarilyexplainedbythechangeswithintheFOMCwindows.BoththeoverallyielddeclineandthatwithinFOMCwindowsarearoundnegativefivepercentagepoints.Moreinterestingly,thechartsrevealanewresult,namelythatthepatternextendstothe10-yeargovernmentbondyieldsofothercountries.Asignificantportionofthedeclinein10-yeargovernmentbondratesacrosstheG10currencycountriesisdrivenbythedeclinesoccurringwithintheFOMCwindows.Forinstance,thedeclineinobservedyieldsandthedeclinewithinFOMCwindowsforCanadiangovernmentbondsarebothexactly6.3percentagepointsbytheendofthesample.ThestrongassociationbetweentheactualyielddynamicsandthosewithinFOMCwindowsisparticularlystrikinggiventhatFOMCmeetingsoccuronlyeighttimesayear,meaningthecumulativeyieldadjustmentsduringFOMCwindowsonlyhappenon24daysperyear—lessthan7%oftheyearlytradingdays.WeevaluatehowwelltheyielddynamicsduringtheFOMCwindowfittheoverallyielddynamicsusingapseudoR2measure,whichisreportedinthesubtitleofeachchartpanel.minustheratioofthesquaredfittingerroroftheFOMC-windowseriestothesumofthesquaredfittingAUD10Y,R=80%42019901995200020052010CAD10Y,R=72%42019901995200020052010CHF10Y,R=67%42019901995200020052010EUR10Y,R=72%42019901995200020052010GBP10Y,R=58%4201990199520002005201020152020JPY10Y,R=19%42019901995200020052010NOK10Y,R=86%4201990199520002005201020152020NZD10Y,R=85%42019901995200020052010SEK10Y,R=74%42019901995200020052010USD10Y,R=94%4201990199520002005201020152020AlldatesFOMCwindowNon-FOMCwindFigure2:Cumulativechangesinnominal10-yearyieldsduringFOMCannouncementwindows.Notes.Unitofthey-axisispercentagep.a..Thecumulativechangeinthe10-yearyieldytduringeventwindowWis▽y=Σ=t0+1(ys-ys-1)1s∈W.TheFOMCwindowconsistsof{t-1,t,t+1}ifdatetisanFOMCannouncementdate.Thenon-FOMCwindowcomplementstheFOMCwindow.ThepseudoR2isdefinedas1- Σ=1(yt-▽y)2Σ=1(yt-▽y)2+Σ=1(yt-▽y)2.errorsofboththeFOMCandnon-FOMCwindowseries:Intuitively,thepseudoR2canbeinterpretedanalogoustoR2andisboundedbetweenzeroandone.AlargerpseudoR2indicatesthatgreaterfittingerrorsoccurduringnon-FOMCwindows,suggestingthattheFOMCwindowsprovideabetterfittotheobservedyields.SincetheFOMCandnon-FOMCwindowscovertheentiresampleperiod,ahigherpseudoR2alsoimpliesthattheFOMCseriesfitstheobservedyielddatabetter.Overall,theFOMCseriesfitstheactualyieldsquitewell,withthebestfitobservedfortheU.S.10-yearyield.ThepseudoR2indicatesthattheFOMCwindowsexplain94%ofthetotalvariationintheU.S.10-yearyieldoverthesampleperiod.Additionally,theFOMCwindowsexhibitveryhighexplanatorypowerforyieldsinAustralia,Canada,Switzerland,Germany,Norway,NewZealand,andSweden,accountingforovertwo-thirdsoftheobservedtotalvariations.ForJapanandtheU.K,thefitisworse,at19%and58%,respectively.33.2Othercentralbanks’monetarypolicyannouncementsDoworldinterestratesalsopersistentlydeclineduringnon-U.S.centralbankannouncementwindows?WerepeattheexerciseoftheprevioussubsectionbutreplaceinEquation(2)theFOMCannouncementdateswiththoseofothercentralbanksandtheninvestigatetheirroleindomesticandinternationalinterestratetrends.Toassesshowwellthecumulativesumofdailyyieldcha