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Analysis of Changes in Determinants of Foreigners¡Ç Bond Investment before and after the Global Financial Crisis: The Case of Korea (in Korean)

Bok-Keun Yu ()
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Bok-Keun Yu: Economic Research Institute, The Bank of Korea

No 2018-18, Working Papers from Economic Research Institute, Bank of Korea

Abstract: 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 for Korea, such as the degrees of arbitrage opportunities as well as global and country risks, have changed after the global financial crisis. Empirical results show that arbitrage opportunities played a more important role in the pre-crisis period (2004-07), while risk factors were more influential in the post-crisis period (2010-17). In addition, the explanatory power of the regression model decreased after the crisis, which implies that the influence of variables other than arbitrage opportunities and risk factors may have increased.

Keywords: Foreigners' bond investment; Arbitrage opportunity; Global risk; Country risk (search for similar items in EconPapers)
JEL-codes: E40 F20 F30 G15 (search for similar items in EconPapers)
Date: 2018-07-04
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