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Monetary Policy and Long-Term Interest Rates in Korea: A Decomposition Analysis

김대환|주상영|Jeffrey Nilsen
한국경제학회 (The Korean Economic Association)|2021.07|The Korean Economic Review|제37권 제2호|pp. 327-366|DOI 10.22841/kerdoi.2021.37.2.005

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키워드

통화정책Monetary PolicyInflation ExpectationsLong-term Interest RatesReal Term PremiaInflation Risk Premia장기이자율실질기간 프리미엄인플레이션 기대인플레이션위험 프리미엄
주제분류경제학

초록

We fit an affine term structure model to Korean nominal treasury yields between 1999 and 2020 to identify four components of long-term interest rates: real short-term interest rate expectations, real term premia, inflation expectations, and inflation risk premia. We then examine how long-term interest rates and their components respond to changes in monetary policy. We find that long-term interest rates do react to monetary policy changes, but this responsiveness has weakened since the global financial crisis of 2008. The decline of the responsiveness is largely attributable to real term premia. We compare these patterns to those in the U.S. and discuss possible explanations of our findings.

Abstract

We fit an affine term structure model to Korean nominal treasury yields between 1999 and 2020 to identify four components of long-term interest rates: real short-term interest rate expectations, real term premia, inflation expectations, and inflation risk premia. We then examine how long-term interest rates and their components respond to changes in monetary policy. We find that long-term interest rates do react to monetary policy changes, but this responsiveness has weakened since the global financial crisis of 2008. The decline of the responsiveness is largely attributable to real term premia. We compare these patterns to those in the U.S. and discuss possible explanations of our findings.

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관련 논문AI추천

The Monetary Policy Reaction Function in Korea with Multi-level Factors조병수한국경제학회 · The Korean Economic Review2020 · 제36권 제2호Macro-Finance Term Structure Analysis Using Structural Vector Autoregression윤재호한국계량경제학회 · 계량경제학보2012 · 제23권 제4호Predictive Abilities of Inflation Expectations and Implications on Monetary Policy in Korea오완근, 조동철한국경제학회 · The Korean Economic Review2023 · 제39권 제1호Effectiveness of Monetary Policy in Korea Due to Time Varying Monetary Policy Stance김태봉한국개발연구원 · KDI Journal of Economic Policy2014 · 제36권 제3호Factor-Augmented VAR (FAVAR) model for Monetary Policy Analysis in Korea김소영한국계량경제학회 · 계량경제학보2009 · 제20권 제3호Interest Arbitrage and Interest Rates in Korea유병학한국은행 · 경제분석2008 · 제14권 제3호

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