---
ticker: "KRZCY10"
title: "South Korea 10-Year Zero-Coupon Bond Yield"
unit: "%"
frequency: "Daily"
source: "Fritsch and Carlson (1980)"
release: "Updated Daily"
category: "Yield Curve & Forward Rates"
country: "KR"
language: "en"
canonical: "https://kred.dev/en/series/KRZCY10"
license: "https://creativecommons.org/licenses/by-nc-nd/4.0/"
latest_value: 4.45
latest_date: "2026-09-09"
first_date: "2000-12-18"
observations_total: 6371
observations_shown: 120
---

# South Korea 10-Year Zero-Coupon Bond Yield

## Overview

The pure ten-year discount rate captures long-run inflation and growth expectations and duration risk.

## Key Figures

|  | Value | Date |
|---|---|---|
| Latest | 4.45 | 2026-09-09 |
| Change from previous | 0.00 | 2026-09-08 |
| Change over one year | +1.60 | 2025-09-09 |
| Highest on record | 8.10 | 2001-04-26 |
| Lowest on record | 1.17 | 2019-08-16 |
| Period covered | 2000-12-18 – 2026-09-09 |  |
| Observations | 6371 |  |

## Recent observations

| Date | Value | Change |
|---|---|---|
| 2026-03-18 | 3.63 | -0.09 |
| 2026-03-19 | 3.71 | +0.09 |
| 2026-03-20 | 3.76 | +0.04 |
| 2026-03-23 | 3.90 | +0.14 |
| 2026-03-24 | 3.85 | -0.04 |
| 2026-03-25 | 3.88 | +0.02 |
| 2026-03-26 | 3.88 | +0.01 |
| 2026-03-27 | 3.94 | +0.05 |
| 2026-03-30 | 3.91 | -0.02 |
| 2026-03-31 | 3.90 | -0.01 |
| 2026-04-01 | 3.71 | -0.19 |
| 2026-04-02 | 3.83 | +0.12 |
| 2026-04-03 | 3.77 | -0.06 |
| 2026-04-06 | 3.75 | -0.02 |
| 2026-04-07 | 3.78 | +0.03 |
| 2026-04-08 | 3.65 | -0.13 |
| 2026-04-09 | 3.68 | +0.03 |
| 2026-04-10 | 3.71 | +0.03 |
| 2026-04-13 | 3.74 | +0.03 |
| 2026-04-14 | 3.68 | -0.06 |
| 2026-04-15 | 3.68 | 0.00 |
| 2026-04-16 | 3.70 | +0.02 |
| 2026-04-17 | 3.74 | +0.04 |
| 2026-04-20 | 3.71 | -0.03 |
| 2026-04-21 | 3.67 | -0.03 |
| 2026-04-22 | 3.72 | +0.04 |
| 2026-04-23 | 3.81 | +0.10 |
| 2026-04-24 | 3.84 | +0.03 |
| 2026-04-27 | 3.84 | 0.00 |
| 2026-04-28 | 3.88 | +0.04 |
| 2026-04-29 | 3.87 | -0.02 |
| 2026-04-30 | 3.95 | +0.08 |
| 2026-05-04 | 3.96 | +0.01 |
| 2026-05-06 | 3.96 | 0.00 |
| 2026-05-07 | 3.91 | -0.04 |
| 2026-05-08 | 3.94 | +0.02 |
| 2026-05-11 | 3.98 | +0.04 |
| 2026-05-12 | 4.09 | +0.11 |
| 2026-05-13 | 4.08 | -0.01 |
| 2026-05-14 | 4.12 | +0.04 |
| 2026-05-15 | 4.25 | +0.13 |
| 2026-05-18 | 4.28 | +0.03 |
| 2026-05-19 | 4.25 | -0.03 |
| 2026-05-20 | 4.24 | -0.01 |
| 2026-05-21 | 4.21 | -0.03 |
| 2026-05-22 | 4.16 | -0.05 |
| 2026-05-26 | 4.10 | -0.05 |
| 2026-05-27 | 4.13 | +0.03 |
| 2026-05-28 | 4.18 | +0.04 |
| 2026-05-29 | 4.09 | -0.08 |
| 2026-06-01 | 4.21 | +0.11 |
| 2026-06-02 | 4.17 | -0.04 |
| 2026-06-04 | 4.26 | +0.09 |
| 2026-06-05 | 4.28 | +0.02 |
| 2026-06-08 | 4.38 | +0.10 |
| 2026-06-09 | 4.31 | -0.08 |
| 2026-06-10 | 4.31 | 0.00 |
| 2026-06-11 | 4.34 | +0.03 |
| 2026-06-12 | 4.23 | -0.11 |
| 2026-06-15 | 4.15 | -0.08 |
| 2026-06-16 | 4.14 | -0.01 |
| 2026-06-17 | 4.10 | -0.04 |
| 2026-06-18 | 4.15 | +0.05 |
| 2026-06-19 | 4.20 | +0.05 |
| 2026-06-22 | 4.22 | +0.02 |
| 2026-06-23 | 4.20 | -0.02 |
| 2026-06-24 | 4.20 | 0.00 |
| 2026-06-25 | 4.17 | -0.03 |
| 2026-06-26 | 4.15 | -0.02 |
| 2026-06-29 | 4.17 | +0.03 |
| 2026-06-30 | 4.12 | -0.05 |
| 2026-07-01 | 4.24 | +0.12 |
| 2026-07-02 | 4.22 | -0.02 |
| 2026-07-03 | 4.23 | +0.02 |
| 2026-07-06 | 4.24 | +0.01 |
| 2026-07-07 | 4.25 | +0.01 |
| 2026-07-08 | 4.29 | +0.04 |
| 2026-07-09 | 4.29 | 0.00 |
| 2026-07-10 | 4.27 | -0.02 |
| 2026-07-13 | 4.30 | +0.03 |
| 2026-07-14 | 4.37 | +0.07 |
| 2026-07-15 | 4.37 | 0.00 |
| 2026-07-16 | 4.33 | -0.03 |
| 2026-07-20 | 4.37 | +0.04 |
| 2026-07-21 | 4.37 | -0.01 |
| 2026-07-22 | 4.43 | +0.07 |
| 2026-07-23 | 4.43 | 0.00 |
| 2026-07-24 | 4.49 | +0.06 |
| 2026-07-27 | 4.37 | -0.12 |
| 2026-07-28 | 4.33 | -0.04 |
| 2026-07-29 | 4.29 | -0.03 |
| 2026-07-30 | 4.35 | +0.06 |
| 2026-07-31 | 4.30 | -0.05 |
| 2026-08-03 | 4.31 | 0.00 |
| 2026-08-04 | 4.30 | 0.00 |
| 2026-08-05 | 4.19 | -0.11 |
| 2026-08-06 | 4.23 | +0.05 |
| 2026-08-07 | 4.25 | +0.01 |
| 2026-08-10 | 4.28 | +0.03 |
| 2026-08-11 | 4.34 | +0.07 |
| 2026-08-12 | 4.34 | -0.01 |
| 2026-08-13 | 4.34 | +0.01 |
| 2026-08-14 | 4.36 | +0.01 |
| 2026-08-18 | 4.43 | +0.07 |
| 2026-08-19 | 4.38 | -0.05 |
| 2026-08-20 | 4.37 | -0.02 |
| 2026-08-21 | 4.42 | +0.06 |
| 2026-08-24 | 4.38 | -0.04 |
| 2026-08-25 | 4.37 | -0.01 |
| 2026-08-26 | 4.33 | -0.04 |
| 2026-08-27 | 4.28 | -0.05 |
| 2026-08-28 | 4.33 | +0.05 |
| 2026-08-31 | 4.36 | +0.03 |
| 2026-09-01 | 4.42 | +0.06 |
| 2026-09-02 | 4.46 | +0.04 |
| 2026-09-03 | 4.41 | -0.05 |
| 2026-09-04 | 4.40 | 0.00 |
| 2026-09-07 | 4.43 | +0.03 |
| 2026-09-08 | 4.45 | +0.02 |
| 2026-09-09 | 4.45 | 0.00 |

## Definition

The zero-coupon yield is the yield to maturity of a hypothetical discount bond that makes no intermediate coupon payments, representing the pure discount rate for that specific maturity. It is the fundamental building block of fixed income analysis because it isolates the time value of money at each point on the term structure without the confounding effects of coupon reinvestment.

Unlike par yields, which assume that intermediate coupons are reinvested at the par rate, zero-coupon yields require no reinvestment assumptions, making them conceptually cleaner measures of the term structure. Each zero-coupon yield has a one-to-one correspondence with a discount factor, which under semi-annual compounding is given by:

$$\text{DF}(\tau) = \left(1 + z(\tau)/2\right)^{-2\tau}$$

where $z(\tau)$ is the zero rate at maturity $\tau$. This bijection means that the entire discount factor schedule, and hence all present value calculations, can be derived directly from zero-coupon yields.

The shape of the zero-coupon yield curve, whether normal (upward-sloping), flat, or inverted, encodes fundamental information about the economy.

## Methodology

Zero-coupon yields are bootstrapped from Korean Treasury Bond (KTB) par yields.

**(1) Input Construction.** Par yields at the following observed maturities serve as inputs:

$$\{\text{MSB 91d}, [6\text{m}], 1\text{Y}, 3\text{Y}, 5\text{Y}, 10\text{Y}\}$$

The par yield curve is interpolated using PCHIP (Piecewise Cubic Hermite Interpolating Polynomial) of Fritsch and Carlson (1980) to preserve monotonicity, and the Actual/Actual (ICMA) day count convention is applied throughout.

**(2) Discount Factor Computation.** Discount factors are computed using two compounding conventions:

$$\text{DF}(\tau) = \begin{cases} \dfrac{1}{1 + c(\tau) \cdot \tau} & \tau < 1 \text{ year (simple interest)} \\[8pt] \dfrac{1}{\left(1 + c(\tau)/2\right)^{2\tau}} & \tau \geq 1 \text{ year (semi-annual)} \end{cases}$$

**(3) Coupon Stripping.** For longer maturities, semi-annual coupons are sequentially stripped:

$$\text{DF}(\tau) = \dfrac{1 - \displaystyle\sum_{k=1}^{2\tau-1} \dfrac{c(\tau)}{2} \cdot \text{DF}(\tau_k)}{1 + c(\tau)/2}$$

Intermediate discount factors are retrieved via linear interpolation from previously computed zero rates.

**(4) Zero Rate Computation.** The zero rate is derived from the discount factor:

$$z(\tau) = 2\left[\text{DF}(\tau)^{-1/(2\tau)} - 1\right]$$

Bootstrapping is performed on a quarterly grid (3, 6, 9, …, 120 months).

## Applications in Economics

As pure discount rates stripped of coupon effects, zero-coupon yields provide the most accurate representation of the time value of money at each maturity, making them indispensable for macroeconomic analysis.

The methodology for constructing the zero-coupon yield curve has a long scholarly lineage. The polynomial-spline approach to extracting the discount function from coupon bond prices was first proposed (McCulloch 1971), and the methodology advanced as parametric functional forms for the curve were introduced (Nelson and Siegel 1987; Svensson 1994). The bootstrapping adopted here, which recovers implied zero rates by sequentially stripping coupons from observed par yields, is the standard market practice and ensures exact repricing of the input instruments (Fabozzi 2007).

The shape of the zero-coupon yield curve carries economic interpretation in its own right. Three classical theories explain the shape of the yield curve, namely the pure expectations theory, the liquidity preference theory, and the preferred habitat theory (Lutz 1940; Hicks 1939; Modigliani and Sutch 1966). Modern no-arbitrage term structure models synthesize these perspectives by allowing time-varying risk premiums within a consistent pricing framework.

The slope of the zero-coupon yield curve, particularly the spread between long-term and short-term zero rates, is one of the most robust recession predictors in the macroeconomic literature. Estrella and Hardouvelis (1991) demonstrated that the 10-year minus 3-month spread predicts U.S. recessions up to six quarters ahead, and subsequent research has confirmed this relationship across multiple countries and time periods (Estrella and Mishkin 1998; Bauer and Mertens 2018). In the Korean context, the KTB yield curve slope has historically anticipated turning points in the business cycle, though it must be interpreted alongside the Bank of Korea's policy stance and external factors.

The level of the yield curve reflects the overall monetary policy environment and inflation expectations. Ang and Piazzesi (2003) show that macroeconomic variables, particularly inflation and real activity measures, are important state variables driving yield curve dynamics. Their macro-finance VAR framework demonstrates that the yield curve responds to and anticipates macroeconomic developments through the expectations channel.

The curvature of the zero-coupon curve, often measured as the butterfly spread $2 \times z(5) - z(1) - z(10)$, reflects the market's view on the distribution of future rate outcomes. High curvature is associated with uncertainty about the medium-term monetary policy path, while low curvature suggests a strong consensus about the direction of rates (Litterman and Scheinkman 1991).

For central bank analysis, zero-coupon yields are preferred over par yields because they enable a clean decomposition into expectations and term premium components. The Bank of Korea, like the Federal Reserve and the ECB, uses zero-coupon yield curves as inputs to the internal term structure models that inform its monetary policy deliberations, and this use is recorded in its Financial Stability Report and elsewhere.

## Applications in Financial Markets

Zero-coupon yields are foundational inputs for virtually all fixed income analytics, including bond pricing, derivatives valuation, discount factor construction, risk measurement, and relative value analysis.

In bond pricing, the theoretical price of any coupon-bearing bond is computed by discounting each cash flow at the corresponding zero-coupon rate:

$$P = \sum_{i=1}^{N} \dfrac{C_i}{\left(1 + z(\tau_i)/2\right)^{2\tau_i}}$$

Deviations between the theoretical price and the market price reveal cheapness or richness, forming the basis for relative value trading strategies that are central to Korean bond market practice.

For interest rate derivatives, the zero-coupon yield curve is the starting point for building the forward rate curve and calibrating models for pricing swaps, options, and structured products. The Korean IRS market, one of the most liquid in Asia, relies on zero-coupon yields derived from KTB par rates for mark-to-market and risk management purposes.

In risk measurement, zero-coupon yield changes at each maturity define the risk factors for duration and key rate duration (KRD) analysis. Ho (1992) introduced KRD as a refinement of Macaulay duration that captures non-parallel yield curve shifts, a critical distinction for portfolios with cash flows distributed across multiple maturities. The zero-coupon basis ensures that these risk sensitivities are not distorted by coupon effects.

Asset-liability management (ALM) for Korean financial institutions (insurers, pension funds, and banks) requires a complete zero-coupon discount curve to compute the present value of future obligations. Under K-ICS (Korean Insurance Capital Standard) and K-IFRS 17, insurers must discount insurance liabilities using a risk-free zero-coupon curve, making the accuracy and transparency of the bootstrapping methodology directly relevant to regulatory capital calculations.

The zero-coupon yield curve also serves as the benchmark for credit spread analysis. Corporate bond spreads are measured as the excess zero-coupon yield over the risk-free zero curve at matching maturities, providing a clean measure of credit risk compensation that is comparable across bonds with different coupon structures (Duffie and Singleton 1999).

## Statistical Tests

This is a model-derived series, the output of the zero-coupon bootstrap and the Diebold-Li dynamic Nelson-Siegel density model, so the unit-root reading describes the fitted curve rather than a directly observed price, and the serial-correlation and break diagnostics run on the first difference. The series is tested over its own span from 2000-12-18 to 2026-06-09.

The ten-year zero-coupon yield is integrated of order one on the level, with the Dickey and Fuller (1979) test in the Said and Dickey (1984) form not rejecting at p = 0.8718, the Phillips and Perron (1988) test concurring at p = 0.7291, and the Kwiatkowski et al. (1992) test rejecting stationarity. On the first difference the Ljung and Box (1978) portmanteau rejects white noise at lags 10 and 20, Q = 55.23 and Q = 87.98 at p = 0.000 and p = 0.000, and the automatic portmanteau of Escanciano and Lobato (2009) concurs with a statistic of 11.43 at p = 0.001. The Bai and Perron (1998, 2003) procedure finds no break in the mean, a reading consistent with the parameter-instability inference of Andrews (1993) on the differenced object (Perron 1989).

This is a daily model output with no low-integer seasonal period, so the seasonal-unit-root and seasonal-stationarity machinery of Hylleberg et al. (1990) and Canova and Hansen (1995) is deliberately not run (Beaulieu and Miron 1992; Ghysels and Osborn 2001).

## Frequently Asked Questions

### What does a zero-coupon government bond yield represent?

The yield to maturity of a hypothetical discount bond paying no intermediate coupon, hence the pure discount rate to a single date. It maps one-to-one onto the discount factor, which makes it the basic building block of term structure analysis.

### How does a zero-coupon yield differ from a par yield?

Par yields carry the distorting effect of coupon reinvestment, so two bonds of identical maturity differ whenever their coupon rates differ. Bootstrapping strips that effect out and assigns one discount rate per date.

### Which parts of the zero-coupon curve are interpolated?

The inputs are a handful of observed maturities, and the stretches between them are filled by an interpolation that preserves monotonicity. Values near the observed maturities are the firmest, while the intermediate segments also carry the imprint of the interpolation assumption.