2016年-CEPS欧洲政策研究中心_Ultra_19页_292kb

Summary of "Ultra-low or Negative Yields on Euro-Area Long-term Bonds: Causes and Implications for Monetary Policy" by Daniel Gros

Core Content

This document explores the causes and implications of ultra-low or negative yields on long-term bonds in the euro area, focusing on the role of global capital market trends and the limitations of monetary policy in influencing these rates.

Main Views

• Global Trend in Bond Yields:
  The decline in long-term interest rates is not solely due to the actions of central banks but is part of a broader global trend affecting all developed economies. This trend has persisted for over two decades, indicating that monetary policy alone cannot explain the low yields.

• Role of Central Banks:
  Central banks, including the ECB, have limited ability to influence long-term bond yields. While the ECB has implemented quantitative easing (QE), negative interest rates, and forward guidance, the impact on bond yields is estimated to be at most one percentage point. The author argues that this effect is likely even smaller, especially given the global context.

• Secular Drivers of Bond Yields:
  The decline in real long-term interest rates is attributed to a combination of factors, including:

  • Ageing Populations: The lifecycle model suggests that as populations age, the propensity to save increases, which can lower real interest rates. However, empirical evidence is limited and the timing does not fully support this explanation.
  • Lower Growth Expectations: A decline in growth prospects reduces the demand for investment, contributing to lower rates.
  • Increased Risk Premium: A rise in the risk premium, particularly in equity markets, has made investment less attractive, further pushing down bond yields.

Key Findings

• Savings and Investment Trends:
  Global savings and investment rates have remained relatively stable despite the decline in interest rates, suggesting that the shift in the interest rate is due to a global imbalance between supply and demand for capital.

• Impact of QE and Monetary Policy:
  The ECB's QE and other monetary policy instruments have had a limited effect on long-term yields, reinforcing the idea that monetary policy can only influence rates at the margin, not fundamentally change the global trend.

• Capital Market Integration:
  Under the assumption of fully integrated global capital markets, national central banks cannot significantly affect long-term bond yields. Any local changes in savings or investment schedules would not alter global interest rates but would lead to changes in the domestic savings and investment levels.

• Current Account Surpluses:
  Countries with current account surpluses, such as Germany, tend to have lower bond yields. However, the gap between these countries and those with deficits has narrowed, indicating a more unified global trend.

• Future Outlook:
  The global secular drivers of low rates, such as ageing, lower growth, and increased risk premium, are unlikely to reverse quickly. Therefore, low bond yields are expected to persist for some time.

Implications for Monetary Policy

• Monetary Policy Limitations:
  The ECB's ability to influence long-term bond yields is constrained by the global nature of capital markets. It can only act to lower rates temporarily, below their equilibrium levels, in response to negative output gaps and low inflation.

• Inflation Target Debate:
  While some argue that inflation targets should be raised to accommodate the need for negative real rates, the document notes that this issue is not explored in detail, as the focus is on the effectiveness of monetary policy in the context of global capital markets.

• Need for Structural Reforms:
  To increase investment profitability and improve the substitutability between labor and capital, structural reforms are necessary. Without these, the long-term trend of low yields is unlikely to change.

Conclusion

The paper concludes that the decline in long-term bond yields is driven by secular global factors, and that monetary policy, including the ECB's actions, has a limited role in influencing these rates. The implications for monetary policy are that it should focus on short-term rate adjustments to support economic activity, rather than expecting to reverse the global trend of low yields.

Key Figures and Data

• Figure 1: Long-term interest rates in major currency areas since 1990 show a common decline trend.
• Figure 2: Illustrates the hump-shaped savings profile based on age, with some variations across countries.
• Figure 3: Shows that global savings and investment rates have remained stable despite declining interest rates.
• Figure 4: Demonstrates the increase in emerging market savings as a percentage of GDP since 1980.
• Figure 5: Highlights the impact of an increase in the equity risk premium on investment decisions.
• Figure 6: Depicts the equity risk premium across major economies from 2000 to 2016.
• Figure 7: Explains how shifts in savings and investment schedules in a globally integrated market affect interest rates.
• Figure 8: Shows investment and savings in the euro area since 1991, indicating no strong correlation between the two.

References and Further Reading

• The paper references studies by Bean et al. (2015), DeFina (1984), Ludolph and Barslund (2016), and the IMF WEO (2016).
• It also draws on the work of Piketty (2014) and Ma and Yi (2010) regarding income inequality and savings behavior.