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The main objectives of the paper are to enhance the knowledge for the innovative unconventional monetary policy of the world's leading central banks, to raise the awareness for this new monetary policy course and to outline the importance of the knowledge management for this important issue. The topic about the innovative unconventional monetary policy is relatively new to the financial theory and practice. The innovation and the originality of this paper are evidenced by the fact that the current study is the first of its kind which is focused on the need of a proper knowledge management for the unconventional monetary policy, implemented by the Federal Reserve (Fed) of the United States, the European Central Bank (ECB) and the Bank of Japan (BoJ). Since the monetary policy of central banks is a major factor for the interest rate changes and in particular, for the government bond yields' changes, an econometric study regarding the impact of the central banks' base interest rates on the central government 10-year bond yields is undertaken. This is done for a large set of countries, such as the Euro area member states (excluding Estonia), the United States, Japan, China, Russian Federation, Brazil and Turkey. The empirical research covers totally 24 countries during the period 2010-2016 by using monthly data (with totally 84 observations made). The paper can help for creating new scientific knowledge, as the topic of the unconventional monetary policy is up-to-date, innovative, significant and relevant to the international and European research priorities. [ABSTRACT FROM AUTHOR]