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The Effect of Policy Rate Adjustments in US on the Korean Bond

미국 연방정책금리 조정효과가 국내 국고채시장에 미치는 영향

  • Received : 2013.06.19
  • Accepted : 2013.08.27
  • Published : 2013.09.28

Abstract

The objective of this study is to investigate the effects of FRB's policy rate adjustments on the 10 years Korea Treasury Bond (KTB) market. Our results are summarized as follows. First, it is found that the FRB's policy rate adjustments are statistically significant positive impact on the 10 years KTB yield. Based on projection, the 10bp increases in FRB's policy rate generates 7bp higher in 10 years KTB yield. Second, the result from after the Lehman bankruptcy in '08 is found to be statistically significant, while that of before financial crisis is not. Third, the variable, in which consistent with yield difference between the 10 years UTB(US Treasury Bond) and the 10 years KTB, is found that is statistically significant positive impact in 1% significance level. And also given that Brunner(2000) exhibited that the Federal Fund Rate innovations are found to impact on other economic variables through the impulse response, the 10 years KTB yield is found to respond to innovation in the Federal Fund Rate up to about 12 months.

Keywords

FRB's Police Rate Adjustments;Mark-to-Market Evaluation;Term Structure;Impulse Response

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