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사회과학대학
경제학전공
Journal papers
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International linkages of term structures: US and Korea Treasury bond yields
Title
International linkages of term structures: US and Korea Treasury bond yields
Authors
Yun
;
Jaeho
Ewha Authors
윤재호
SCOPUS Author ID
윤재호
Issue Date
2023
Journal Title
Journal of International Money and Finance
ISSN
0261-5606
Citation
Journal of International Money and Finance vol. 138
Keywords
Gaussian dynamic term structure model
;
Global liquidity
;
International linkages of term structures
;
Policy and risk-compensation channels
;
US level factor
Publisher
Elsevier Ltd
Indexed
SSCI; SCOPUS
Document Type
Article
Abstract
This study analyzes the international linkages of term structures between the United States (US) and Korea using a Gaussian dynamic term structure model. The empirical analysis shows that the US level factor makes the most important contribution to the Korean term structure fluctuations. When two separate channels (i.e., policy and risk-compensation) are considered for propagating structural shocks into Korean bond yields, the policy channel dominates for the short-term rates, whereas for the long-term yield, the policy channel is dominant for the US level shock, but the risk channel is dominant for other shocks. These results are sensitive to whether or not small-sample bias is corrected. With a help of the bias correction, term premium estimates in the US and Korea exhibit substantial countercyclicality with respect to the US output gap. The US slope factor, which also has a significant impact on Korean long-term yields, is closely related to the global liquidity conditions for Korean bond returns. © 2023 Elsevier Ltd
DOI
10.1016/j.jimonfin.2023.102924
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