국적별 외국인 자금의 원화채권 투자 결정요인 분석

Purpose - This study aims to empirically identify the determinants of foreign investment in Korean won-denominated bonds, with a particular focus on differences based on investor nationality and inferred institutional characteristics. It seeks to explain how investment behavior has evolved over time and how it varies across key investor countries. Design/methodology/approach - The study conducts a cross country analysis of the top five foreign holders of Korean bonds—China, Switzerland, Norway, the United States, and Luxembourg—using monthly data from January 2009 to March 2016. It examines the role of macro-financial variables such as foreign exchange reserves, U.S. Treasury holdings, emerging market bond fund flows, CDS premiums, basis spreads, interest rate differentials, exchange rates, and the KOSPI index to identify country-specific investment determinants. Findings - We found that investment behavior differs significantly by investor nationality and institutional type. After the 2013 taper tantrum, public investors—such as central banks and sovereign wealth funds—from China, Switzerland, and Norway became increasingly active, whereas private-sector investors from the United States and Luxembourg reduced their exposure. China's investments are positively associated with its foreign exchange reserves and emerging market bond fund flows, while Switzerland's investments are primarily driven by the size of its foreign exchange reserves. Norway increases its investment when Korea's CDS premium rises, suggesting a risk-premium-seeking strategy characteristic of sovereign wealth funds. In contrast, investments from the United States and Luxembourg respond mainly to changes in basis spreads, reflecting return-driven arbitrage behavior. Research implications or Originality - This study highlights the structural heterogeneity of foreign investor behavior in the Korean bond market based on nationality and institutional characteristics. By distinguishing between public and private investor motives, it provides novel insights into capital flow dynamics and offers a useful framework for forecasting future inflows and outflows in response to global and domestic financial conditions.