Term Premia & Decompositions
Splits of the Korean Treasury curve into an expected average short rate and a term premium, covering both estimation configurations KRED publishes for user comparison.
Term Premiums
- South Korea 1-Year Zero-Coupon Bond Term PremiumAdrian, Crump, and Moench (2013)KRTP1Daily
- South Korea 3-Year Zero-Coupon Bond Term PremiumAdrian, Crump, and Moench (2013)KRTP3Daily
- South Korea 5-Year Zero-Coupon Bond Term PremiumAdrian, Crump, and Moench (2013)KRTP5Daily
- South Korea 10-Year Zero-Coupon Bond Term PremiumAdrian, Crump, and Moench (2013)KRTP10Daily
Risk-Neutral Yields
- South Korea 1-Year Zero-Coupon Bond Risk-Neutral RateAdrian, Crump, and Moench (2013)KRRN1Daily
- South Korea 3-Year Zero-Coupon Bond Risk-Neutral RateAdrian, Crump, and Moench (2013)KRRN3Daily
- South Korea 5-Year Zero-Coupon Bond Risk-Neutral RateAdrian, Crump, and Moench (2013)KRRN5Daily
- South Korea 10-Year Zero-Coupon Bond Risk-Neutral RateAdrian, Crump, and Moench (2013)KRRN10Daily
Term Structure Decomposition without Persistence Correction
- South Korea 1-Year Zero-Coupon Bond Term Premium without Persistence CorrectionAdrian, Crump, and Moench (2013); Bauer, Rudebusch, and Wu (2012)KRACMTP1Daily
- South Korea 3-Year Zero-Coupon Bond Term Premium without Persistence CorrectionAdrian, Crump, and Moench (2013); Bauer, Rudebusch, and Wu (2012)KRACMTP3Daily
- South Korea 5-Year Zero-Coupon Bond Term Premium without Persistence CorrectionAdrian, Crump, and Moench (2013); Bauer, Rudebusch, and Wu (2012)KRACMTP5Daily
- South Korea 10-Year Zero-Coupon Bond Term Premium without Persistence CorrectionAdrian, Crump, and Moench (2013); Bauer, Rudebusch, and Wu (2012)KRACMTP10Daily
- South Korea 1-Year Zero-Coupon Bond Risk-Neutral Yield without Persistence CorrectionAdrian, Crump, and Moench (2013); Bauer, Rudebusch, and Wu (2012)KRACMRNY1Daily
- South Korea 3-Year Zero-Coupon Bond Risk-Neutral Yield without Persistence CorrectionAdrian, Crump, and Moench (2013); Bauer, Rudebusch, and Wu (2012)KRACMRNY3Daily
- South Korea 5-Year Zero-Coupon Bond Risk-Neutral Yield without Persistence CorrectionAdrian, Crump, and Moench (2013); Bauer, Rudebusch, and Wu (2012)KRACMRNY5Daily
- South Korea 10-Year Zero-Coupon Bond Risk-Neutral Yield without Persistence CorrectionAdrian, Crump, and Moench (2013); Bauer, Rudebusch, and Wu (2012)KRACMRNY10Daily