자본 자유화가 금리 변동성에 미치는 영향에 관한 연구

This study analyse the effects of capital liberalization on the uncertainty in Korean bond market. We use outward and inward foreign investment account, which is composed of 2 types – direct and indirect investment, in International Investment Position(IIP) in order to measure the openness of financial market. And we distinguish short and long term bond markets in order to grasp the clearer relationship between capital liberalization and bond market. More specifically, the uncertainty of short term bond market are measured by using standard deviation of Call and CD(91 days) interest rate while treasury bond interest rate(3 and 5 years) as long term bond market. The results of Granger causality test shows that short term bond market has been significantly influenced by foreign direct investment although there is the significant effects of foreign indirect investment in long term bond market. We also find the similar results from the output of variance decomposition of forecast error on the basis of VAR. In contrast, as results of analyses except the early period, which include East Asian financial crisis(1997-1998), the uncertainty of short term bond market Granger causes the openness of financial market. Moreover, the explanation power of direct foreign investment become weak in short term bond market. This result mean that capital liberalization can reduce the uncertainty of bond market during financial crisis, although low level of uncertainty in bond market commonly lead to the active capital movement.