Even when individual economic variables are nonstationary time series, if their linear combination is stationary, these variables maintain a long-run equilibrium relationship. Therefore, if a cointegration relationship exists between long-term and short-term bond yields, these bond yields can be considered to maintain long-run equilibrium in accordance with market principles—that is, the yield spread attributable to maturity differences achieves long-run equilibrium. This study examines the long-run equilibrium relationship between long-term and short-term bond yields using cointegration tests. The results indicate that cointegration relationships generally do not exist between long-term and short-term bond yields, meaning that these yields do not sufficiently reflect market mechanisms and thus fail to establish long-run equilibrium. This phenomenon is interpreted as reflecting the government's policy-driven interest rate determination during the economic development process and the weakness of the bond market infrastructure. However, following the first phase of interest rate liberalization, the existence of some degree of cointegration among the interest rates subject to liberalization could not be denied. This indicates that interest rate liberalization has been working in the direction of enhancing market functionality and establishing long-run equilibrium among bond yields.