-term interest rate and three latent factors. The latent factors determine the shape of the Korean yield curve, and the U.S. interest … rate can influence on the Korea yield curve through the latent factors. In addition, the possibility of structural changes … in the Korean yield curve dynamics and its relationship with the U.S. interest rate are considered. Our estimation …

restored swiftly when the yield on 3-year KGBs is falling, but the speed of adjustment is slow when increasing. This finding …

global shocks such as the anticipated 2017 U.S. policy rates increase on predictions of Korea's yield curves. For this task ….67%→0.87%→0.94% →1.17% each quarter in 2017. Assuming 95 per cent confidence of these views, the Korea's yield curve is predicted to … reflecting the historical correlations with the global factor and yields with different maturities in two bond markets …

decompositions and the time-varying coefficient model analysis showed evidence of the recent strengthening co-movement of the bond …

at resolving the imbalance in the long-term bond market, such as the restructuring of the securities industry and greater …