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 ()
Additional contact information
Bok-Keun Yu: Economic Research Institute, The Bank of Korea
No 2018-18, Working Papers from Economic Research Institute, Bank of Korea
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)
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
https://www.bok.or.kr/ucms/cmmn/file/fileDown.do?m ... 00000004620&fileSn=1 Working Paper, 2018 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bok:wpaper:1818
Access Statistics for this paper
More papers in Working Papers from Economic Research Institute, Bank of Korea Contact information at EDIRC.
Bibliographic data for series maintained by Economic Research Institute ().