Bank for International Settlements working paper links most of the global decline in 10-year yields to US FOMC announcement windows

The Bank for International Settlements published a working paper arguing that the secular fall in long-term interest rates across advanced economies has been concentrated around US Federal Open Market Committee (FOMC) policy announcements, while other central banks’ announcement dates show little persistent contribution to long-run yield trends. Using daily 10-year government bond yields for G10 currencies and defining announcement windows as the three days around each decision, the authors estimate that almost 70% of the cumulative decline in long-term yields from the early 1990s to 2023 occurred in FOMC windows. Across the G10, FOMC windows account on average for 64% of yield variation versus 5% for domestic central bank windows, with Japan a notable exception. The paper attributes the global pattern to large US-to-foreign spillovers combined with the concentration of US yield declines around FOMC dates, finding that a 1 percentage point move in US 10-year yields during FOMC windows is associated with roughly a 0.9 percentage point move in other countries’ yields. High-frequency shock decompositions tie the declines primarily to “purified” monetary policy shocks rather than information effects, and term-structure analysis suggests the impact is mainly via real and expected short-rate channels (risk-neutral rates) rather than inflation expectations or term premia; similar concentration is reported for long-term real yields using inflation-protected securities.