외국인 자본유출입 특징과 국내금융시장의 파급효과

Abstract

Using the international and Korean financial data, we empirically analyze which financial variables affects on capital flows in Korea. The evidence suggests that international liquidity related variables, such as, of TED spread and CDS premium, are playing major role in foreign portfolio capital in Korea. Two common and sizable assets--bond and stocks---are not substitute but complements, which is not the case in developed financial markets. Bond yields and stocks returns are positively correlated with US bond yields and major countries' stock returns. The last empirical finding suggests that the Korean financial markets are exposed to, so called, the ‘boom and bust’ cycle. Therefore, Korea should take policy action to minimize countercycle impact by foreign investment through market oriented policy measures.