Contribution rate of Korea-US long-term interest rate synchronization

What caused the Korea-US long-term interest rate synchronization?

Forecast error variance decomposition (contribution rate) based on a 60-month forecast horizon

Inflation (expected inflation) shock1st place41.0%
US long-term interest rate idiosyncratic shock22.7%
Fed monetary policy (shadow rate) shock18.3%
US economic (output) shock18.0%

Source: Yoon Jae-ho, Kim Do-wan, Lee Hyung-seok, Bank of Korea BOK Economic Research No. 2026-15 (Sample 2001.1~2024.7)