저자: 김지현·김소민(성균관대학교), 곽보름(숭실대학교)

<요약>

This paper develops a high-frequency measure of yield synchronization between the United States and Korea and examines its implications for monetary policy transmission in a small open economy. We model bond yields at fixed maturities as an Itô semimartingale with a recursive structure that captures contemporaneous spillovers from U.S. to Korean yields. Using localized realized variances and covariances, we nonparametrically estimate the instantaneous second moments governing international yield comovement. The resulting Variance Ratio, which admits a reduced-form interpretation as the squared spot correlation between U.S. and Korean yield innovations, provides a continuous, semiparametric measure of financial connectedness.

Empirically, we document substantial time variation in yield synchronization. Long-term yields exhibit a persistent post-crisis increase in synchronization, along with pronounced spikes during episodes of global financial stress. We further show that monetary policy transmission in Korea is highly state-dependent: contractionary policy shocks generate conventional macroeconomic responses when synchronization is low, but their effects weaken markedly and may even reverse when synchronization is high. These findings highlight the central role of global financial conditions in shaping monetary autonomy and demonstrate that high-frequency measures of financial connectedness provide informative real-time indicators of external policy constraints in small open economies.