BOK Working Paper No.2026-3, U.S.-Korea Yield Synchronization and Its Implications for Monetary Policy Transmission | (상세) |  Bank of Korea
Central bank: bok | Type: statement | Date: 2026-01-27

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addValueToFrontOfList("myContentsList",view); BOK Working Paper No.2026-3, U.S.-Korea Yield Synchronization and Its Implications for Monetary Policy Transmission 등록일 2026.01.27 조회수 354 키워드 Yield synchronization financial connectedness monetary policy transmission high-frequency measures realized volatility 등록자 Jihyun Kim, Somin Kim, Boreum Kwak 담당부서 Financial & Monetary Economic Studies Team(02-759-5308) Attachment 첨부파일 BOK 경제연구 제2026-3호(본문).pdf Download Viewer $(function(){
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}) Authors: Jihyun Kim·Somin Kim(Sungkyunkwan Univ.), Boreum Kwak(Soongsil Univ.) <Abstract> This paper develops a high-frequency measure of yield synchronization between the United States and Korea and examines its implications for monetary policy transmission in a small open economy. We model bond yields at fixed maturities as an Itô semimartingale with a recursive structure that captures contemporaneous spillovers from U.S. to Korean yields. Using localized realized variances and covariances, we nonparametrically estimate the instantaneous second moments governing international yield comovement. The resulting Variance Ratio, which admits a reduced-form interpretation as the squared spot correlation between U.S. and Korean yield innovations, provides a continuous, semiparametric measure of financial connectedness. Empirically, we document substantial time variation in yield synchronization. Long-term yields exhibit a persistent post-crisis increase in synchronization, along with pronounced spikes during episodes of global financial stress. We further show that monetary policy transmission in Korea is highly state-dependent: contractionary policy shocks generate conventional macroeconomic responses when synchronization is low, but their effects weaken markedly and may even reverse when synchronization is high. These findings highlight the central role of global financial conditions in shaping monetary autonomy and demonstrate that high-frequency measures of financial connectedness provide informative real-time indicators of external policy constraints in small open economies. List function goStats(optn3){
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