외국인 채권매매가 국내 채권시장 변동성에 미치는 영향

The growing role and portion of foreign investors in the domestic bond market have increased concerns over the possible outbreak of large capital outflows increasing financial instability as the Fed announced its balance sheet reduction plans and has been normalizing its policy rate in a scheduled way. However, in contrast to increasing interests in the role of foreign investors, recent studies on their behavior in the Korean bond market have mainly focused on what are the major determinants of bond holdings by foreign investors rather than on volatility induced by their trading behavior. Therefore, this study is different from the previous research in that it analyzed the role of foreign investors’ bond trading in terms of volatility. To this end, we estimate the impact of foreign investors on conditional volatility in the local currency bond market with various EGARCH models. Net buying by foreign investors is included in a setup of EGARCH models as an explanatory variable for bond market volatility. Net purchases of domestic sovereign bonds have a tendency to increase the volatility of the bond market. However, they show different aspects across volatility regimes when incorporating a Markov switching process into the model. When the volatility regime is high, net sales (purchases) of foreign investors raise (lower) the degree of volatility. This implies that the net sell-off of foreign investors during the period of the global financial crisis might contribute to the further increase in the volatility of the bond market and that policymakers should always pay attention to potential capital outflows from the domestic bond market when financial conditions are unstable. On the other hand, by estimating the timing of the structural change in volatility within the sample period, we find that the high volatility regime in the bond market had lasted from the initial period of the global financial crisis to the end period of European fiscal debt crisis in 2011. In addition, we also look into the role of foreign investors in determining the time varying transition probabilities in the volatility regimes, but it is not statistically significant. This outcome might be mainly ascribable to the home bias of domestic investors in the sovereign bond market, or to a more important role of economic fundamental factors in determining market volatility. Finally, to ensure the robustness of the results, we include the exchange rates in estimating the EGARCH models reflecting a possible linkage between two financial markets, because it is well-known that capital outflows and inflows by foreign investors through the FX market are substantially associated with flows of funds in other domestic financial markets. The results from these alternative models do not show significant differences from those of models without considering the FX market. It also turns out that the models excluding the FX market are preferred to the ones with it.