South Korea CP 91-Day Yield

KRCP91 is the raw yield-to-maturity on 91-day commercial paper recorded exactly as observed without any transformation, namely the annualized rate of return on a negotiable 91-day unsecured short-term corporate debt instrument. As a yield it is the discount rate that equates the instrument's price to its single terminal cash flow at maturity, a construct that originates in the measurement of bond yields over time and was later generalized to the full term structure of zero-coupon rates (Macaulay 1938; Fisher and Weil 1971).

The 91-day tenor places this quote near the short end of the interest-rate term structure, whose decomposition into expected future short rates plus a liquidity premium was defined and then made operational as a smooth function recoverable from market prices (Hicks 1939; McCulloch 1971, 1975; Vasicek and Fong 1982; Nelson and Siegel 1987; Svensson 1994). Its daily construction is comparable to the standardized off-the-run curve-fitting practice evaluated across competing methods (Gürkaynak, Sack, and Wright 2007; Bliss 1997).

Commercial paper is issued by nonfinancial and financial corporations to fund short-term working-capital needs, so the instrument carries a corporate credit exposure distinct from a bank-issued negotiable deposit and from the unsecured overnight interbank rate (Duffie 1996; Hamilton 1996; Furfine 1999). Its level nonetheless remains anchored to the short end of the money market alongside other short-dated rates, whose anchoring follows the policy operating-target framework (Borio 1997; Bindseil 2004; Bartolini, Bertola, and Prati 2002).

KRED applies no transformation to the quoted 91-day commercial-paper yield and stores it daily exactly as observed, performing no rescaling, deflating, smoothing, or annualizing. The series therefore exists by the measurement conventions of money-market yield quotation rather than by any KRED computation, resting on the yield-to-maturity framework whereby a fixed-maturity instrument's price implies a single annualized discount rate, a construct that was formalized and then generalized to the zero-coupon term structure (Macaulay 1938; Fisher and Weil 1971).

A 91-day money-market yield is a point estimate of that term structure at the short end. Its smooth recovery from market prices developed through the cubic-spline discount function, the exponential splines, the parsimonious level-slope-curvature form, and its extension (McCulloch 1971, 1975; Vasicek and Fong 1982; Nelson and Siegel 1987; Svensson 1994). The daily operational construction was codified and competing estimators have been compared (Gürkaynak, Sack, and Wright 2007; Bliss 1997).

Because commercial paper carries an issuer-specific corporate credit exposure rather than the collateral or counterparty profile of a bank-issued instrument, its quoted rate is read against the unsecured interbank benchmark and the secured repo rate (Duffie 1996; Hamilton 1996; Furfine 1999), and its level relative to the policy operating target follows the same implementation conventions as other money-market rates (Borio 1997; Bindseil 2004; Bartolini, Bertola, and Prati 2002). No seasonal adjustment is applied, consistent with the series carrying no seasonal structure.

The 91-day commercial-paper yield is a corporate money-market price that reflects short-term funding conditions facing nonfinancial and financial issuers, distinct from the bank funding costs captured by interbank and negotiable-deposit rates. Its spread over the unsecured interbank rate and the secured repo rate is informative about corporate credit and liquidity conditions, since commercial paper carries an issuer credit exposure that bank-issued short-term instruments and government paper do not (Duffie 1996; Hamilton 1996; Furfine 1999).

Because this quote sits at the short end of the term structure, its movements separate expected future short rates from term and liquidity premia under the classic forward-rate decomposition (Hicks 1939), sharpened by term-structure measurement across parsimonious and spline-based estimators (McCulloch 1971; Nelson and Siegel 1987; Svensson 1994; Gürkaynak, Sack, and Wright 2007).

The level of the commercial-paper yield relative to the policy operating target reflects the same transmission channel that anchors other short-dated money-market rates (Borio 1997; Bindseil 2004; Bartolini, Bertola, and Prati 2002). The duration sensitivity of any claim priced off this yield follows the yield-to-maturity and duration methods developed for bond markets (Macaulay 1938; Fisher and Weil 1971).

As a corporate short-term funding benchmark, the 91-day commercial-paper yield prices the cost of unsecured corporate borrowing at the short end of the money market. Claims and hedges built around it use the yield-to-maturity and duration machinery developed for money-market and bond instruments (Macaulay 1938; Fisher and Weil 1971).

Discounting and curve construction for such short-dated corporate claims place this quote near the front of the zero-coupon curve, which is recovered from market prices through cubic-spline, exponential-spline, and parsimonious parameterizations (McCulloch 1971, 1975; Vasicek and Fong 1982; Nelson and Siegel 1987; Svensson 1994), with the short-maturity point fitted per the daily off-the-run construction and estimator comparison (Gürkaynak, Sack, and Wright 2007; Bliss 1997).

Relative-value and funding desks read the commercial-paper yield against the unsecured interbank rate and the secured repo benchmark to gauge corporate credit and liquidity conditions (Duffie 1996; Hamilton 1996; Furfine 1999), and its level relative to the policy operating target follows the same implementation frameworks that govern the front end of the curve (Borio 1997; Bindseil 2004; Bartolini, Bertola, and Prati 2002). The front-end curve built around such short-dated quotes implies the expected path of short rates priced by the market, whose forward-rate content was first identified in the classic decomposition (Hicks 1939).

On the 8,013 daily observations spanning 1995-01-03 to 2026-07-24, fit with a constant and trend, the unit-root battery does not agree on the order of integration of the ninety-one-day commercial-paper yield. The augmented Dickey-Fuller test of Dickey and Fuller (1979), in the lag-augmented form of Said and Dickey (1984) with the lag length of Ng and Perron (2001), rejects the unit root at p = 0.0131, while the nonparametric Phillips and Perron (1988) test rejects it only marginally at p = 0.047 and the Kwiatkowski et al. (1992) test rejects trend stationarity at p < 0.01, so the opposite-null pair does not resolve and no clean order of integration is assigned. The GLS-detrended escalation of Elliott, Rothenberg, and Stock (1996) is run for this ambiguous outcome and does not reject a unit root at p = 0.069, but under the house protocol it confirms the augmented Dickey-Fuller leg rather than overturning the disagreement, so the reading stays ambiguous.

Because the level is integrated, the mean-shift and serial-correlation diagnostics are run on the first difference, the stationary object those procedures require, since a break search or a portmanteau on an integrated level would spuriously segment and read near-unit autocorrelations (Bai and Perron 1998; Perron 1989). The multiple-break procedure of Bai and Perron (1998), computed by the dynamic-programming algorithm of Bai and Perron (2003), finds no break in the mean of the differenced series, consistent with the parameter-instability inference of Andrews (1993). The Ljung and Box (1978) portmanteau statistic, refining the original Box and Pierce (1970) form, is computed on the first difference and rejects the white-noise null at lags 10 and 20, with Q = 1456.24 and Q = 2165.84 and p = 0.000 and p = 0.000, and the automatic portmanteau test of Escanciano and Lobato (2009) concurs with a statistic of 7.60 at p = 0.006.

The series is daily and has no low-integer seasonal period, so the seasonal-unit-root machinery of Hylleberg et al. (1990) and the Canova and Hansen (1995) seasonal-stationarity test are inapplicable and are deliberately not run, the degeneracy of the seasonal auxiliary regression at a daily period being the standard ground (Beaulieu and Miron 1992; Ghysels and Osborn 2001).