The zero lower bound and movements in the term structure of interest rates

•I analyze movements of the US term structure in the zero lower bound (ZLB) period.•The expectations hypothesis implies a nonlinear link of short and long-term yields.•The response of medium-term yields to short rates declined at the ZLB.•I find no evidence of asymmetric effects of positive/negative short rate changes.

The expectations hypothesis of the term structure implies a nonlinear relationship between short- and long-term rates if nominal interest rates are constrained by the zero lower bound (ZLB). This note finds limited evidence for such nonlinearities in the US term structure. The sensitivity of medium-term yields to short rate movements declined, but there is no evidence for asymmetric responses to positive versus negative short rate changes.