Korean bond rates most sensitive to changing US yields in emerging Asian markets
Korean interest rates are highly sensitive to movements in U.S. yields as markets anticipate a quick response by the Bank of Korea (BOK), pricing that expectation into Korean rates before the central bank actually makes a move, a new BOK study showed Sunday. The finding helps explain why Korean bond yields tend to move closely with their U.S. counterparts even when the two economies seem to be…
Korean bond rates are highly sensitive to changes in U.S. interest rates, according to a recent study by the Bank of Korea (BOK). The findings suggest that Korean bond yields move closely with those in the United States, even when the two economies appear to diverge. This sensitivity has intensified over the past two decades, with Korean government bonds exhibiting the strongest correlation among emerging Asian markets to shifts in the U.S. Treasury yield curve, as reported by Bloomberg earlier this year.
The BOK researchers identified global inflation shocks as the primary driver of this co-movement, accounting for 41 percent of both the direction and level of volatility, both in terms of the yield curve and bond market fluctuations. The correlation between Korean and U.S. bond rates has intensified following the 2008 global financial crisis and again in response to the inflation shock that began in 2021.
Written by urgent.news from The Korea Times's reporting — not their text. Machine-written — may contain errors; check the original before relying on it.
