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Seoul Journal of Economics
[ Article ]
Seoul Journal of Economics - Vol. 39, No. 2, pp.179-207
ISSN: 1225-0279 (Print)
Print publication date 30 Jun 2026
Received 22 Jan 2026 Revised 20 May 2026 Accepted 10 Jun 2026
DOI: https://doi.org/10.22904/sje.2026.39.2.002

Sequential Path of Yield Curve Integration: Evidence from Korea and the U.S.

Ye Jin Heo
Ye Jin Heo, Assistant Professor, Department of Economics, The Catholic University of Korea, Korea yjheo@catholic.ac.kr

JEL Classification: F36, E43, G15

Abstract

Using daily government bond yield data for the U.S. and Korea from 2000 to 2025, this study examines how yield synchronization evolved differently across the Korean yield curve. Synchronization is evaluated using rolling correlation, rolling covariance, and dynamic conditional correlation measures, distinguishing between long-run alignment in yield levels and short-run co-movement in yield changes. Across specifications, structural break tests show that synchronization generally emerged earlier in the 10-year maturity than in the 5-year maturity, indicating a maturity-dependent synchronization pattern. To explain these differences, we decompose Korean yield changes into global and domestic components using a seemingly unrelated regression framework. Although both maturities are significantly associated with U.S. interest rate and global risk factors, the 5-year yield exhibits a substantially stronger association with domestic yield dynamics than the 10-year yield. Results suggest that domestic yield dynamics remained more important in the medium-term segment of the Korean yield curve and were more strongly associated with the 5-year maturity than with the 10-year maturity. In addition, covariance-based measures identify a simultaneous surge in shared yield volatility across both maturities during the post-2022 global inflation and monetary tightening cycle.

Keywords:

Bond yield, synchronization, financial integration, DCC

Acknowledgments

This work was supported by the Research Fund of The Catholic University of Korea in 2025.

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