글로벌금융위기 및 유럽재정위기가 유럽 및 신흥국 국채시장에 미친 영향과 한국 국채에 대한 국적별 외국인투자 요인

This study examines the effects of the global financial and European debt crises onthe so-called PIIGS countries and emerging market countries in terms of their sovereignbond spreads and yields. I look into both internal and external macroeconomic factorsrelating to the bond markets, and for the Korean government bond market, I focus onthe differential effect according to the nationality of foreign investors. The main empirical results can be summarized as follows. First, the bail-out financingrelated news increased the sovereign bond spreads of the PIIGS countries. In addition,the local financial vulnerability and global risk are also factored in. Second, themacroeconomic variables such as the ratios of government debt and fiscal balance toGDP affected bond yields. Global liquidity risk and inflation risk turned out to berelevant factors. Third, U.S. investors in the Korean government bonds considerarbitrage incentive and liquidity risk as important factor, but Eurozone and Chineseinvestors consider Korea's sovereign credit risk. Fourth, relative yield increase inKorean short-term bonds leads to foreign investors' net purchases. Fifth, increases innet purchases of Korean bonds by U.S. and Eurozone investors give rise to decrease inthe yield, but Chinese investors do not. Sixth, the effect of foreign investors' netpurchases on bond yields is significant only for short-term bond purchases. The resultimplies that crises in industrialized countries have an indirect or spill-over effect onemerging market countries' bond markets, and further that economic fundamentalsand conventional bond market risks such as sovereign, liquidity and inflation risks are relevant.