This paper shows that the scope for bond yields to fall below zero is strictly limited by market expectations about how … commitment to keeping its policy rate above a given level under all circumstances, then bond yields must be higher than that … level. This result holds true even in a model in which central banks are able to depress the term premium in bond yields …

observed government bond yields and survey-based expected average short rates. Our term premiums measured directly based on … rates, and uncover a number of important facts: 1) the bulk of the variation in medium- and long-term bond yields is driven … shocks playing the most prominent role; and 5) the secular decline of U.S. long-term bond yields over the past thirty years …

predictability varies over time, however, particularly across different monetary regimes. In accord with our proposed theory, regimes …