Financial Indicators
Term premium contribution ratios with Cornish-Fisher confidence bands, the financial conditions index, Treasury-market noise, aggregate distance-to-default, and the excess bond premium.
Term Premium Contribution Ratios
- South Korea 1-Year Term Premium Contribution RatioAdrian, Crump, and Moench (2013); Cornish and Fisher (1937)KRTPCR1Daily
- South Korea 3-Year Term Premium Contribution RatioAdrian, Crump, and Moench (2013); Cornish and Fisher (1937)KRTPCR3Daily
- South Korea 5-Year Term Premium Contribution RatioAdrian, Crump, and Moench (2013); Cornish and Fisher (1937)KRTPCR5Daily
- South Korea 10-Year Term Premium Contribution RatioAdrian, Crump, and Moench (2013); Cornish and Fisher (1937)KRTPCR10Daily
Financial Conditions Index
Composite Indicator of Systemic Stress
- South Korea Composite Indicator of Systemic StressHolló, Kremer, and Lo Duca (2012); Tsay (1998)KRCISSDaily
- South Korea CISS Financial-Intermediaries SubindexHolló, Kremer, and Lo Duca (2012); Tsay (1998)KRCISSFIDaily
- South Korea CISS Money-Market SubindexHolló, Kremer, and Lo Duca (2012); Tsay (1998)KRCISSMMDaily
- South Korea CISS Equity SubindexHolló, Kremer, and Lo Duca (2012); Tsay (1998)KRCISSEQDaily
- South Korea CISS Bond SubindexHolló, Kremer, and Lo Duca (2012); Tsay (1998)KRCISSBDDaily
- South Korea CISS Foreign-Exchange SubindexHolló, Kremer, and Lo Duca (2012); Tsay (1998)KRCISSFXDaily
Treasury-Market Noise Measure
Aggregate Distance-to-Default
- South Korea Aggregate Distance-to-Default, MedianMerton (1974); Bharath and Shumway (2008)KRDDMonthly
- South Korea Aggregate Expected Default Frequency, MeanMerton (1974); Bharath and Shumway (2008); Campbell, Hilscher, and Szilagyi (2008)KREDFMonthly
- South Korea Aggregate Distance-to-Default, 25th Percentile (Weak Tail)Merton (1974); Bharath and Shumway (2008)KRDDTAILMonthly