ABSTRACT

This paper analyzes the home bias of Korean resident bond investors, as their overseas bond investments have rapidly increased after 2000. For this purpose, we introduce the Won/invested currency swap basis (interest rate differential adjusted FX swap return) and the Won/invested currency uncovered basis (interest rate differential adjusted expected FX spot return) along with the interest rate gap based on CIP and UCIP respectively in order to address the return factors in detail. The model coefficients are estimated by the static pooled OLS and the dynamic system GMM over the period of 2002–2018 and 2009–2018 respectively. With these estimation results, we have obtained the following implications. First, it is expected that the level of home bias will decline as Korean resident overseas bond investments increase, as the factors that have traditionally caused home bias continue to mitigate. Second, when Korean residents invest in overseas bond markets, the FX risk has partially hedged at the country level. This suggests that the rapid in/out flows for overseas bond transactions make a significant impact on the FX swap rates as well as spot rates. Third, both groups of investors have taken into heavy consideration both the FX swap basis (or the FX uncovered basis) related to the invested currency/USD as well as to Won/USD. Our findings suggest that the policy makers need to reconsider their conventional monitoring methods which are focused on the Won/USD transactions.

摘要

本文分析了韩国居民债券投资者的本国偏好，因为他们的海外债券投资在 2000 年之后迅速增加。为此，我们引入了韩元/投资货币互换基础（利率差调整后的外汇互换收益）和韩元/投资货币未覆盖基础（利率差调整后的预期外汇即期收益）以及分别基于 CIP 和 UCIP 的利率缺口，以详细解决收益因素。模型系数分别由 2002-2018 年和 2009-2018 年期间的静态合并 OLS 和动态系统 GMM 估计。有了这些估计结果，我们得到了以下启示。首先，随着韩国居民海外债券投资的增加，预计国内偏向水平将下降，随着传统上导致家庭偏见的因素继续减轻。其次，当韩国居民投资海外债券市场时，外汇风险在国家层面已经部分对冲。这表明，海外债券交易的快速流入/流出对外汇掉期汇率和即期汇率产生重大影响。第三，两组投资者都认真考虑了与投资货币/美元以及韩元/美元相关的外汇掉期基差（或未覆盖的外汇基础）。我们的研究结果表明，政策制定者需要重新考虑他们专注于韩元/美元交易的传统监控方法。这表明，海外债券交易的快速流入/流出对外汇掉期汇率和即期汇率产生重大影响。第三，两组投资者都认真考虑了与投资货币/美元以及韩元/美元相关的外汇掉期基差（或未覆盖的外汇基础）。我们的研究结果表明，政策制定者需要重新考虑他们专注于韩元/美元交易的传统监控方法。这表明，海外债券交易的快速流入/流出对外汇掉期汇率和即期汇率产生重大影响。第三，两组投资者都认真考虑了与投资货币/美元以及韩元/美元相关的外汇掉期基差（或未覆盖的外汇基础）。我们的研究结果表明，政策制定者需要重新考虑他们专注于韩元/美元交易的传统监控方法。