대외자산 및 대외부채가 외환시장 유동성에 미치는 영향 분석

This study conducts an empirical analysis on how the external assets and external debts of each country affect its foreign exchange (FX) market liquidity. Data of 31 countries are analyzed using the dynamic panel model; and the dependent variable is the estimated bid-ask spread, representing the FX market liquidity. Analysis results suggest that external assets and external debts have varying impacts on the FX liquidity by investor’s residency status (resident or non-resident) and investment assets type (direct, portfolio, and other investments, as well as foreign reserves): If not for the direct investment assets, greater magnitude of external assets and foreign reserves better improve the liquidity of the given residents’ FX market. In the meantime, external debts demonstrate no significant relationship with FX liquidity when including out the other investment debts of advanced countries. That is, study results show an asymmetry between the external assets and external debts. Assuming that the results are also relevant to the Korean economy, the increase of external assets in the private sector does contribute to stabilizing the FX liquidity—thereby lessening the burden of government to maintain a liquid FX market with its foreign reserves.