글로벌 금융위기 전·후 외국인의 채권투자 결정요인 변화 분석: 한국의 사례

The policy rates of Korea and the US reversed in March 2018 as the US Fed continued to push ahead with monetary policy normalization. This led to a growing interest in the impact of the narrowing and reversal of interest rate differentials on capital flows. It is generally known that capital flows are determined not only by profit-related factors like arbitrage opportunities and risk factors such as global and country risks, but also by differences in economic growth rates across countries, and macroeconomic, financial and FX market conditions. The policy rates of Korea and the US reversed in March 2018 as the US Fed continued to push ahead with monetary policy normalization. This led to a growing interest in the impact of the narrowing and reversal of interest rate differentials on capital flows. It is generally known that capital flows are determined not only by profit-related factors like arbitrage opportunities and risk factors such as global and country risks, but also by differences in economic growth rates across countries, and macroeconomic, financial and FX market conditions. This study employs regression analysis and variance decomposition based on portfolio selection and interest rate parity theories to examine whether the determinants of foreigners' bond investment in Korea, such as arbitrage opportunities as well as global and country risks, have changed since the global financial crisis. The empirical results show that arbitrage opportunities played a more important role in the pre-crisis period(2004~2007), while risk factors have been more influential in the post-crisis period (2010~2017). In addition, the explanatory power of the regression model decreases after the crisis, which implies that the influence of variables other than arbitrage opportunities and risk factors may have increased. These changes in the determinants of foreigners’ bond investment before and after the global financial crisis seem to be the result of changes in foreigners’ investment behavior and their risk preferences. It has been found that after the crisis the source of foreigner’s bond investment in Korea shifted from private funds toward public ones, with the maturities lengthened to the medium or long term. Another reason may be that the risk management of global private bond investors for their Korean bond investment has strengthened after the crisis. These results show that there is a need for an examination of arbitrage opportunities related to foreigners’ bond investment flows in and out of Korea, and for close monitoring of changing global risks, while efforts should also be made to ensure that sovereign risk does not materialize.