美国韩国收益同步及其对货币政策传导的影响

-contents奥克M斯onetaryTransmissionunderyieIdsynchronizationPleaconcIusion38Appendix:AdditionaIFiguresandTabIexxxxxxxxxxxxxxxxxxxx4xxxxxU.S.–koreayieIdSynchronizationandltslmpIicationsforMonetaryPoIicyTransmissionmission,high-frequencymeasures,realizedvolatility,smallopeneconomiesA.kweidentify—time-varyingyieldsynchronizationandstate-dependentmonetaryingloballyintegratedfinancialmarkets.Toconstructthesynchronizationmeasure,wedepartfromstructuralterm-structureapproachesanmartingales.Ratherthanderivingyieldsfromalatentshortrateunderno-arbitragerestrictions,weworkdirectlywithyieldsatfixedmaturities.Thisap-proachavoidsstronification,andalignsnaturallywithnonparametricestimationofspotvariancesAndersenetal.,2003;MyklandationofinstantaneouskoreanyieldvolatilityintoaU.S.-drandadomesticidiosyncraticcomponent.Theirratio,whichwerefertoasthevarianceRatio,providesameasureoffinancialsynchronizationwithasimplekoreanyieldinnovations.TheroleofU.S.monetarypolicyinshapingglobalfinancialconditionsre-mainsanactiveareaofdebate.Rey(2dividualcountries,whereasNelson(2020)contendsthatnationalcentralbanksretainconsiderablescopetocmonetarypolicyimposemeaningfulconstraints,yetdomesticpolicyautonomyisnoteliminated.tionsthetransmissionofmonetarypolicyremainslimited.whileinternationallessisknownabouthowtime-varyingyieldsynchronizationalterstheefective- koreacase,whichallowsustostudyhowglobalfinancialintegrationinteractswithdomesticpolicytransmissioninapolicy-relevantsetting.1)weexaminehowthetransmissionofmonetarypolicyinkoreavarieswiththedegreeofU.S.—koreayieldsynchronization.Monkorea(BOk)monetarypolicyannouncementdays.Toallowforstate-dependenttransmissionefects,weestimatelocalprojectionswithasmooth-transitionstruc-wefurthervalidatetheidentifiedhigh-synchronizationstatesusingnarrativeevidencefromtheBOk’so伍cialMonetaryandcreditpolicyReports,findingclosealignmentbetweentheempiricalclassificationsandpolicynarratives.etarytransmissiondependscriticallyontheprevailingdegreeofyieldsnization.whensynchronizationislow,monetarypolicyshocksgeneratetextbookorevenreversed.Ourresultsimplythatkorea’smonetaryautonomyisstate-dependentandthattheinternationalfinancialenvironmentplaysacentralroleinshapingtheefectivenessofdomesticstabilizationpolicy.Morebroadly,thetimeindicatorsofexternalconstraintsandsuggestthatcentralbanksoperatingingloballyintegratedfinancialsystemsfaceinherentlynonlinements,inwhichthee伍cacyofdomesticmonetaryactionsvariessystematicallywithglobalconditions.Theremainderofthepaperisorganizedasfollows.S1)Existingstudieshaveprimarilyexaminedsynchronizationbetweenkorea’smarketinterestratesandthoseofadvancedeconomiesthroughthelensoftheyieldcurve,withoutexplicitlylinkingsynchronizationtomonetarytransmission(kimandoh,2015;kangandoh,2015;yun,2023).4Ratio.sectionIIIpresentsestimatesofthesynchronizationmeasureusingkoreabondyielddata.sectionIvexaminesmonetarypolicytransmissionacrossdiferentsynchronizationstatesusinglocalprojections.sectionvdiscussestheempiricalfindings,andsectionvIconcludes.TheAppendixcontainsadditionaledness,whichwetermthevarianceRatio.ourfocusisonyieldsynchronizationbetweentheUnitedstatevaryingfinancialintegrationbyquantifyingthefractionofkoreanyieldvolatil-ityattributabletoU.s.shocks,asopposedtoshocksoriginatingfromdomesticin且uenceofU.s.financialconditionsonthekoreanbondmarket.Thisframe-workallowsustoidentifyinstantaneousvaritheunderlyingyieldprocess.Theresultingvarianceandeconomicallyinterpretableproxyforinternationalfinancialconnectedness,transmissionofmonetarypolicyinkorea.1.ModeImoregenerally,Itδsemimartingales.Classicterm-structuremodels,suchasva-sicek(1977)andCoxetal.(1985),specifyinterestratesasdifusions,while5byMerton(1973).2)Theappealofsemimartingalemodelsliesintheiranalytictractability,theirabilitytoaccommodaterichstochasticdynamics,andtheirnaturalcompatibilitywithhigh-frequencydata.(whereμ=(μ(),μ())Ttttσt()andσt()denoteidiosyncraticvolatilities,andρcapturesthetime-t2)steealsoDu伍e(2001)andBjirk(2009)fortextbooktreatments,andBarndorf-Nielsenandsh⎥eha⎢rdt(2002);Andersenetal.(2003)forthein/tocontinuous-timevolatilitymodeling.Recentdevelopmentsincontinuous-timeregressionandvolatilityforecastingusinghigh-frequencyfinancialdataarediscussedinkimandpark(2017)andkimandMeddahi(2020).ttevaryingspilloverfromu.S.tokoreanyields.underthelowertriangularstructure(II.2),theyielddynamicscanbewritten(II.3)(II.4)underthisspecification,u.S.yieldsaredrivenexclusivelybydomesticshocks,whilekoreanyieldsrespondtobothglobal(u.S.)anddomesticinnovations.ThisstructuredeliversatransparentdecompositionofkoreanyieldvolatilityintoanrquireadditionalidentificationassiThelowertriangulardifusionstructurein(II.2)impliesthattheinstanta-tdpurelydomestic.variancedecompositionanddefinitionofthevarianceRatio.Thestructurein(II.5)impliesthefollowingdecompositionofkoreaninstantaneousyie(II.6)wherethefirsttermrepresentsvolatilitytransmittedfromtheU.S.marketandsition,wedefinethevarianceRatioas II.7)whichmeasuresthefractionofkoreaninstantaneousyieldvolatilityattributableffinancialinte-ner.Specifically,sorry,symbol\"ρ\"futureresearch.sorry,symbol\"ρ\"=8varianceRatioassquaredspotcorrelation.Although(II.7)isdefinedintermsofstructuraldifusionparameters,thevarianceRatioadmitsasimplereduced-neouscorrelationbetweenU.S.andkoreanyieldsisItfollowsdirectlythat(II.8)sothatthevarianceRatiocoincideswiththesquaredspotcorrelationbetween=tt=tttt([]=∫σ2N()δ一()()2(II.9)t美国(II.10)Urespninspotquantities(Myklandandzhang)2009;Ait-sahaliaetal.)2005;JavtariancRatioestimator.combining(II.8)withtherealizedestimatorsyields一=一2,(II.11)estimatoistransparent,robusttodifusionmisspecification,anddirectlyin-terpretableastheshareofkoreaninstantaneousyieldvolatilitydrivenbyU.s.瑞kets.3.ReIationtoExistingMeasures((!=1matrixgovernsthetransmissionofinn thekoreanyieldattributabletoaU.S.structuralinnovation.Longer-horizonεεThevarianceRatio,bycontrast,arisesfromtheinstantaneousvariancede-compositionimpliedbythecontinuous-timedifusion.ThevarianceRatioisthereforetheinstantaneousshareofkoreanyieldvarianceattributabletoU.s.innovations.Thisquantitydependsonlyonloentirelynonparametric.substitutingtheselimitsinto(II.12)yields))2tinstantaneouslimitbutdivergeeconometrically:vAR-basedFEvDsrequirew)hereasthevarianceRatioreliesonly(onnonparametriclocalcovarianceesti-2jconditionalvari-)AAA1.DataTomeasureU.S.-koreayieldsynchronization,weusezero-couponyieldsattwomaturities:ashort-termrate(2-year)andalong-termrate(yieldsserveasthebasisforcochronizationmeasuredevelopedinSectioForkorea,weusedailyPricingcorporation(kAP))coveringtheperiodfromJanuary2001toJune2025.3)seeTable1forasummaryofkeydiferences.Becauselong-termzero-couponbondsarenotdirectlyissuedinkorea,kAPfollowingthemethodologyFortheunitedstates,werelyonthezero-couponTreasuryyieldcurveofGirkaynaketal.(2007),whichprovidesasmoothtermstructureestimatedfromof-the-runTreasurysecurities.weextractthe2-yearand10-yearzero-comparabilitywiththekoreanseries.)thevariance-ratiosynchronizationprocess.2.EmpiricaIlmpIementation(k)kt)(III.1)(III.2)nn=kttnttnofkoreanyieldvolatilityisthenobtainedbysub-transmission,suchasquantifyingthemagnitudeofU.S.spilloversorseparating(transmission,suchasquantifyingthemagnitudeofU.S.spilloversorseparatingtR85))3.EstimatedyieIdsynchronizationMeasureskoreanTreasuryyields.Thelightgraylinesrepresenttherawdailyestimates,whichnaturallyexhibitsubstantialhigh-frequencyvariation,whilethesolidblacklinesshow60-daymovingaveragesthDuringtranquilperiods,thevarianceratioforbothmaturitiestypically且uc-percentofthecontemporaneousvariationinkoreanyields.Thismagnitudeisconsistentwiththeinterpretationofthevarianceratioastheshareofkoreanyieldvolatilityattributabletoglobal(U.S.)financialshocks.5)Estimatedvarianceandcovarianceprocesses,spillovercoe伍cients,andvariancedecompositionsarereportedinFigures13—16intheAppendix.6)Asshowninkimandpark(2017)andkimandMeddahi(2020),approximationerrorsaris-ingfromdiscretesamplingofcontinuous-timemodelsareasymptoticallynegligibleundersuchrelativeasymptotics.Localizedrealizedmeasuresthereforeprovidevalidandstableapproxi-mationstocontinuous-timespotvariancesandcovariances,evenwhenobservationsaretakenatrelativelylowfrequency,providedthattheunderlyingvolatilityprocessesaresu伍cientlysmoothandthesamplespanissu伍cientlylong. FinancialCrisis.Forthe2-yearyield,thevarianceratiodoesnotexhibitasus-tainedupwardtrendinthepost-crisisperiod.Instead,itincreasesepisodicallyywremainmoretightlyanchoredbydomesticmonetarstate-contingentandlimitedtransmissionofexternalshocks.Incontrast,thevarianceratioforthe10-yearyieldticeablyhigherlevelinrecentyears.ThispatternpointstoasecularincreaseinThroughoutthesample,the10-yearvarianceratiotendtoexhibitstrongersynchronizationwithmajorfinancialcenters(Barbierietal.,2024).Figure2highlightsperiodsinwhichthevarianceratiRDdicateshighsynchronizationfortheepisodesinwhichbothmaturitiessimultaneouslyexhibithighsynchronization.rinthe2-yearmeasurearerelatsensitivityoflonger-termyieldstoglobalfinancialconditionsandexternalriskfactors.Themostrecentperiodmarksanotableshift.Sincelate2022,simultaneous奥TheliteratureoferscontrastingviewsontheextenttowhichU.S.monetarypolicyconstrainstheautonomyofnationalmonetaryauthorities.Rey(2016)arguesthattheFederalReserve’sdominantroleinglobalfinancialmarketscanR3materiallyconstrainthepolicyspaceavailabletoothercentralbanks.conversely,mesticmonetaryauthoritiesretainconsiderablecapacitytostabilizemacroeco-financialsynchronizationwiththeU.S.remainslimited.Addressingthisgap,weempiricallyassesshowU.S.-koreayieldsynchronizationafectsthetransmissionofmonetarypolicyinkorea.Tothisend,wefirstidentifymonetarypolicyshocksinkoreausinghigfrequencymovementsinmarketinterestratesaroundBankofkoreapolicyannouncements.wethenestimatetheirmacroeconomicefectsusinglocalpro-jections,beginningwithastandardlinearspecificationtoestablishbenchmarkaverageefects.Finally,weextendtheanalysistoastate-dependentframeworkthatallowsthetransmissionofmonetarypolicytovarywiththedegreeofU.S.-koreayieldsynchronization.1.ldentificationofMonetaryPoIicyshocksofpolicyactions.FollowingthehitifymonetarypolicysurprisesusingfinancialmarketreactionstoBankofkorea(BOk)policyannouncements.BecausemarketinterestratesemIntheabsenceofintradaydataforthefull注册护newsratherthanbyothersystematicshocks.whiledailydatamaycontainintradayfuturesdataareunavailable,particularlyforearliersampleperiods.())ticular,thepolicydecisiononJuly12,2012,whentheBOKunexpectedlycutitspolicyrateby25basispointsst7)Daily-frequencymarketinterestratesareobtainedfromtheBankofkoreaEconomicstatisticssystem(ECOs).InformationonhistoricalMonetarypolicyBoardmeetingdatesiscollectedfromtheo伍cialBankofkoreawebsite.8)since2017,manypolicymeetingshaveoccurredlateinthemonth.Toaccountforthistiming,wealsoconstructsmoothedpolicysurpriseseriesfollowingGertlerandkaradi(2015).200020042000200420082012201620202024Unfortunately,thegivenEnglishtextappearstocontainspecialcharactersandnon-Englishsymb0.20.10-0.1-0.2-0.3-0.4-0.5-0.6-0.720002004200020042008201220162020200-0.2-0.4-0.6-0.8εtTheKORIBOR-basedseriesdoesnotcapturethelargetighteningMorerecently,astheBOKshiftedtowardanmeasureofmonetarypolicyshocks.TheKORIBOR-basedseries,togetherwithsmoothedversionsofbothCD91andKORIBORsurprisestherobustnessofourempiricalres2.LocaIProjectionsOurempiricalanalysisempllinearspecification(IV.1)tht)transitionlocalprojectionframework,followin(2013)andTenreyroandThwaites(2016).Thestatedependentspecificationis9)MostmacroeconomicandfinancialvariablesareobtainedfromtheFederalReserveEconomicData(FRED)database.TheglobaleconomicconditionsindexistakenfromBaumeisteretal.(2022),andprofessionalandconsumerforecastsofin丑ationandGDPgrowthareobtainedfromtheconsensusEconomicssurveyandtheBankofkoreaconsumersurvey,respectively.(IV.2)h -1(IV.3)h一Thestatevariabl-1h)financialvariablettoamonetarypolicyshock.wefirstdiscusstheresultsfromefectoverthesamtpleperiod.wethenturntoourmainresultsfromthestate-h10)Themovingaveragesmoothshighfrequencynoiseindailycovarianceestimatesandcapturespersistentchangesininternationalyieldlinkagesratherthanshortlived丑uctuations.degreeofU.S.-koreayieldsynchronization.Linearspecification6B;m`29X1z2+iQ7KQM2i``vTQHB+vb?Q+F,HBM2``KQ/2Hβeralpuzzlesthatareinconsistentwithstandardmacroeconomictheory.Follow-inganunanticipatedmonetarytightening,theumarginallysignificantdecline,contrarytotheexpectedcontractionineconomicactivity.Similarly,industrialproductiongrowthinitiallyincreasesbeforeturningnegative,andsurvey-basedexpectationsoffutureGDPgrowtharerevisedup-mayberestrictive.AplausibleexplanationforthesecounterintuitivefindingsisthattheesbiguitystronglymotivatesourshifttoastateexplicitlytestwhetherthelevelofU.S.-koreayieldsynchronizationin且uencestheefectivenessofmonetarypolicytransmissioninkorea.state–Dependentspecification6B;m`28XS`Q##BHBivQ7#2BM;BM?B;?@bvM+?`QMBxiBQMbii2t0.9t0.20.120042006200820102012201420162018202020222024Aninitialexaminationoftheestimatedprobabilitiesrevealsadistinctstruc-turalshiftaroundthe2008GlobalFinancialCrisis(GFC).Inthepre-GFCpe-riod,synchronizationregimesarecharacterizedbytheirperfrequentshiftsbetweenstates.Duringthistime,thesynchronizationpatternsofshort-andlong-termyieldslargelymovedGFCeraismarkedbymorefrequentandshorter-livesynchronizationdynamicsofshort-andlong-termyieldsdiverge.Thisandlong-termyieldrelationshipsbetweentheU.S.andKorea.11)Toprovideexternalvalidationforouryieldsynchronizationmeasure,were-narrativeevidencefromtheBankofKorea’sMonetaryandcreditpolicyRe-ourestimatesofbeinginthehigh-synchronizationstateandtheBOK’snarratnomicslowdown.NarrativeaccountsintheBOK’sreportsindicatethatthisticfinancialmarketparticipantsadjustingtheirinterestrateexpectationsintheFederalReserve’ssignalofapotentialreductioninassetpurchases,closelymirroringmovementsinU.S.Treasuryyieldmarkets.Ourestimatesindicateaperiodofrelativelyhighsynchronizationin2019.ThisfindingalignswithBOKreportsattributingmovementsindomesticfi-nancialmarketsatthetimetoheightenedglobalfactors,includingU.S.—chinatradetensionsandelevatedgeopoliticalrisks.DuringthecOVID-19pandemic,thispatternreversed:theestimatedpr11)Seechoietal.(2023)andkooetal.(2024)forrelatedevidenceonchangesinU.S.-koreayield12)Forthenarrativeaccounts,werefertoseveralissuesoftheBankofkorea(2012—2024)o伍cialMonetaryandcreditpolicyReport,including2012.04/09,2013.04/10,2014.03/09,2019.08,2020.06,2021.03/06,2022.03/09,2023.03/09,and2024.03/09.ashiftinmarketexpectationsThesynchronizationdynamicschangedagainin2021.TheBOKemphasizedbyrisingU.S.Treasuryyieldsassociatedwithglobalrecoveryexpectations.con-sistentwiththisinterpretation,ourestimatesindicatelimitedsynchronizationatshortmaturitiesbutasharpincreaseinsynchronizationatlongermaturi-ties,highlightingthemodel’sabilitytocapturematurity-specificdynamicsininternationalyieldsynchronization.hrevealastarkcontrastinthenatureofmonetarypolicytransmissionacrossthewhenyieldsynchronizationislow,monetarypolicytransmissionoperates6B;m`2eXaii2@/2T2M/2Mi`2bTQMb2bQ7KDQ`K+`Qp`B#H2b(Theprovid)edtext\"k@v2\u001C`o_\"apinlinewithconventionalexpectations.AcontractionarypolicyshockleadstoastatisticallysignificantinindustrialproductionandexpectedGDPgrowth.Bothactualin且ationandyieldsynchronizationishigh,thetransTheestimatedresponsesareeitherstatisticallyinsignificantordisplaycterintuitivepatterns.Followingthesamecontractionaryshock,unemploymenttionalmonetarytransmissionunderhighsynchronization.prices,andtheKRW/USDexchangeratetoacontractionarymonetarypolicyingprices,stockprices,andtheKRW/USDexchangerate,anappreciationoftheKoreanwonfollowingmonetarytightU.S.–koreayieIdSynchronizationandMonetaryPoIicyTransmission6B;m`2dXaii2@/2T2M/2Mi`2bTQMb2bQ7bb2iT`B+(bheprovid)edtext\"increase,whilestockpricesandtheKRW/USDexchangerateexhibitonlyweakreactions.ourresultsimplythatahighdegreeofintegrationwiththeU.S.bondmar-ketmayalterthetramovecloselywiththeirU.S.counterparts,domesticpolicyimpulsesappeartobeincreasinglydominatedbyglobalfinancialforces,whichmaylimittheefec-Forthe10-yearyieldsynchrontractionarymonetarypolicyshock.Theresultsarequalitativelysimilartothoserobustacrossmaturities.Specifically,whensynchronizatnomicvariablesrespondinlinewithconventionalexpectations,albeitwithamacroeconomicandfinancialvariablesarestatisticallyinsignificant.withre-tiontheresponsebecomesoToassesstherobustnessofourmainfindingthatmonetarypolicyefective-sensitivitychecks.First,weexaminethesensitivityofourresultstotheiden-tificationofthemonetarypolicyshockbyemployingtwoalternativemeasures:thedailychangeinthe12-monthKORIBORaroundtheBankofKoreapol-rate.second,toaddresspotentialmodelmisspecification,weadoptativetransitionfunctionbasedontheempiricalcumulativedistributionfunction(CDF)ofthestatevariable,followingBornetal.(2020).Thisapproachavoidsimposingaspecificparametricformonthetransitionmechanism.Finally,weU.S.–koreayieIdSynchronizationandMonetaryPoIicyTransmissionjy6B;m`2NXaii2@/2T2M/2Mi`2bTQMb2bQ7bb2iT`B+(fortunate)ly,theprovidedtext\"Ry@v2\u001synchronizationstates.Thisexercisehelpsensurethatbyover-parameterizationormultiAcrossallspecifications,ourmainfindingsremainqualitativelyunchanged.synchronizationandmarkedlyweakerwhensynchronizationishigh.Thecorre-Figures17-22intheAppendix.Lastly,weplotthedistributionofmonetarypolicyshocksinhigh-andlow-synchronizationstates.Figure23intheAppendixprovideshistogramsoftheobservationsonnon-meetingdaysofthesionarymonetarypolicyshocksarelargelyevenlydistributedacrossperiodsofhigh-andlow-yieldsynchronizjRenedmonetarypolicytransmissionunderthehigh-yieldsynchronizationisnotprimarilyduetotheasymmetrictransmissionefectsoftighteningandexpan-sionarymonetarypolicyshocks.Inaddition,theresultsimplythatyieldsyn-chronizationdoesnotsystematicallyintensifyduringeithercycles.oAnimportantimplicationofouranalysisisthatyieldsynchronizationoper-asmallopeneconomy.whensynchronizationislow,andfinancialvariablesbecomesmorelimited,suggestingthatexternalfinancialconditionsplayalargersynchronizationanditsimplicationsformonetarytransmission.First,weexam-diferentmacro-financialchannels.Second,weevaluatewhethertheU.S.-koreathroughwhichhighsynchronizationmayweakenthetransmissionofmonetarypolicybyalteringhowmarketsinterpretdomesticpolicyactions.1.DriversofyieIdsynchronizationU.S.-koreayieldsynchronizationmayarisethroughseveraltransmissionchan-nelsthathavebeenemphasizedintheinternationalfinanceliterature.First,thejkchannelcapturestheroleofanticitheU.s.FederalReserveinshapingyieldcurves,amechanismthathasreceivedconsiderableattentioninthepost-crisisliterature.Third,thegloballiquidityandfromunconventionalmonetarypolicies,particularlyU.s.quantitativeeasing.ofthe60-daymovingavespecifically,therealeconomyfactoris(Ivariationinsynchronization.Theshapley—LMGdecompositionfurtherclarifiestherelativeimportanceofeachchannel.Themonetarypolicyexpectationsfactorcontreconomyfactor(42.7%).Bycontrast,thecontributionofthegloballiquidityandriskaversionfactorismodest,at5.6%.ourestimatesindicatethatsyn-tarypolicypathsinthetwoeconomies.etarypolicyratediferentialshapesthedegingratediferentialmaysignaladivergenceinmonetarypolicypaths,therebyweakeningyieldsynchronization,especiallyattheshortendoftheyieldcurve.conversely,anarrowingdiferentialmayindicatemoreconvergentpolicwhichwouldstrengthensynchronization.ThepolicyratediferentialisconstructedastheU.S.policyrateminusthekoreanpolicyrate,usingtheBankofkorea’sbaserateforkorea.FortheU.S.,fundsratewithashadowpolicyratefollowinallowsustocapturethestanceofU.S.monetarypolicymoreaccuratelyduringj9Figure10plotsthepolicproximately0.40forthe2-yearyieldand0.18forindicatesthatperiodsinwhichtheU.S.-koreapolicyratediferentialbecomesstrongeryieldsynchronization,particularlyatshortermaturities.ToillustratewhetherthemagnitudeoftheU.S.-koreapolicyratediferentialsystematicallyafectsthetransmissionofmonetarypolicyshocks,weextendour)t13)weadoptthisinteraction-basedspecificationratherthanintroducinganadditionalstatevari-ybRlew(ith=aseparatetr+nutmberofparameterstobeestimated,whichisundesirablegiventherelativelyshortsample eriod.ttj86B;m`2RRXaii2@/2T2M/2Mi`2bTQMb2b,BMi2`+iBQMrBi?TQHB+v`i2/Bz2`2MiBH(Theprovid)edtext\"k@v2\u001C`o_\"appearstobeastringofcharacterβfor2-yearand10-yearyields,respectively.Theresultsfromthisaugmentedanalysisshowthattheinclusionoftheinteractiontermdoesnotmateriallytocontractionarymonetarypolicyshockremainedstatisticallyindistinguishable Thisfindingshowsthat,whilethepolicyratediferentialisanintuitiveandanadditionalconditioningroleinshapingthetransmissionofmonetarypolicystates.Inthissense,theresourbaselinespecification,indicatingthattheoriginalstatevariableefectivelycapturesthekeynonlinearitiesintheU.S.-koreayieldrelationship.U.S.–koreayieIdSynchronizationandMonetaryPoIicyTransmissionje6B;m²RkXai²i²@/2T²M/2Mi²bTQMb²b,BMi²`+iBQMrBi?TQHB+v`²i²/Bz²`²MiB²(Unfortunate)ly,theprovidedtext\"Ry@v2\u001C`o_\"doesnotseemtoco3.potentiaIMechanism:ThesignaIingchanneIpolicyshock.Anaturalconjectureisthatmonetarypolicytransmissionweak-policyshocks.ourresults,however,pointtoamorenuancedinterpretation.wefindthattheinitial,on-idifersignificantlybetweenthehigh-andlow-synchronizationstates.Thisindi-broadlysimilaracrossregimes,regardlessofthedechronization.However,thedynamicpathsoftheresponsesdivergesisistentlyelevatedfollowistate,whileitshortlyfallsinthelow-synchronizationstate.ourpreviousfindingsnalinginterpretationofmonetarypolicy(Melosi,2017),wherebypolicyactionsconveyin