What long-term interest rate dynamics in the euro zone during past inflationary shocks (from 1999, from 2006)?

It came as a surprise how quickly euro-zone long-term interest rates fell at the end of 2023 in response to the fall in headline inflation. We look at the dynamics of long-term interest rates in the early 2000s and from 2006 onwards, in response to rising inflation and then falling inflation, and rising short-term interest rates and then the expectation that short-term interest rates would be cut. The recent dynamics of long-term interest rates has been very different from that of the early 2000s, but very similar to the dynamics seen from 2008 onwards: a sharp fall followed by a significant upturn, linked to the trend in inflation. Short-term interest rates fell sharply due to the fall in inflation at the end of 2008, and rose only slightly again; but long-term interest rates first fell (2008-2009) before rising again due to the return of inflation (2010-2012). The succession of a fall and then a rise in inflation, due to changes in import prices, causes long-term interest rates to fall and then rise again.