갈수록 커지는 한·미 금리 동조화…‘글로벌 물가 충격’이 주요인

The increasing correlation between South Korean and US interest rates is primarily driven by the global inflation surge, according to a recent analysis conducted by the Korea Research Institute for Financial Economics. This report, titled "The Trend and Causes of the Korea-US Long-term Interest Rate Convergence Phenomenon," delved into the data from 2000 to 2025, specifically analyzing the daily fluctuations of 10-year government bond yields in both countries.

The findings revealed that global inflation contributed to the correlation by a significant margin of 0.385, followed by US long-term interest rates at 0.213, the Federal Reserve's monetary policy at 0.171, and domestic economic conditions at 0.169. In percentage terms, global inflation accounted for 41.0% of the correlation, with the remaining factors falling within a 20% range.

The path through which global inflation inflates South Korea's long-term interest rates appears to be more influenced by the expected policy actions of the central bank rather than the demand for higher interest rates due to market uncertainty. The report highlights that the Korean won's central bank interest rate has been expected to rise further in response to the global inflation shock, which aligns with the ongoing trend.

It is suggested that as communication between markets and policymakers becomes more effective, the impact of foreign shocks on domestic long-term interest rates could be mitigated to a certain extent. The analysis also found that when the US Federal Reserve implements unconventional monetary policies like quantitative easing, the primary driver of the correlation is policy expectation rather than the risk premium.

The study also revealed that since the COVID-19 pandemic, the simultaneous monetary tightening measures by major central banks, particularly the US, European Central Bank, and Bank of England, have led to a significant increase in the co-movement of both short-term and long-term interest rates. This suggests that the convergence of interest rates between the US and South Korea is not a unique case but rather a common phenomenon among major economies.