Resumen de Government bond yield sensitivity to economic news at the zero lower bound in Canada in comparison with the UK and US

Richhild Moessner

• At the zero lower bound of the policy rate, monetary policy can still be effective through unconventional monetary policy measures and forward guidance affecting longer-term interest rates. We study whether the sensitivity of Canadian government bond yields to domestic and US macroeconomic data surprises changed at the zero lower bound, and compare the results with those for the United Kingdom and the United States. We find that the sensitivity of government bond yields to domestic economic news was reduced only at shorter maturities in Canada than in the United Kingdom and the United States. Moreover, we find that it was reduced less strongly in Canada than in the United Kingdom. This suggests that in Canada monetary policy lost less of its effectiveness than in the United Kingdom, and only up to shorter horizons than in the United Kingdom and the United States.