Inflation shock 0.385, where did it pass to?
Results of dividing the covariance of Korea-US long-term interest rates created by the inflation shock into two components of Korean long-term interest rates
Expectation component: The market's calculation that "the Bank of Korea will also raise interest rates"
Term premium: Compensation for holding Korean bonds for a long time
Source: Yoon Jae-ho, Kim Do-wan, Lee Hyung-seok, Bank of Korea BOK Economic Research No. 2026-15, Table 4 (Basic Model). The difference between the total and the sum of components is due to rounding or other model calculation errors