Determinants of Foreign Investors’ Demand for Korean Treasury Bonds

• 발행기관: 한국자료분석학회
• 저자명: Sungwon Cho
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.19 No.2, 617~625쪽, 전체 9쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2017.04.30

영문 초록

This paper examines factors that determine foreign investors demand for Korean treasury bonds during the period from January 2005 to December 2012. Empirical results show that interest rate arbitrage opportunity and country default risk along with won-dollar exchange rate are significant factors that affect foreign investors’ demand for Korean bonds during the period before the global financial crisis. Since the global financial crisis, however, interest rate arbitrage opportunity is no longer significantly correlated with foreign demand for domestic bonds, while country default risk emerged as the most significant determinant of foreign investors demand for Korean treasury bonds. The result of this paper is consistent with the findings of Huh, Lee (2011), which showed that foreign investors perception of risk as measured by the CDS premium plays a more important role than interest rate arbitrage opportunity in explaining foreign investors’ demand for Korean bonds during the period after the global financial crisis.

목차

1. Introduction

2. Model and Data

3. Empirical Results

4. Conclusion

키워드

foreign investors bond investment arbitrage opportunity country default risk global financial crisis