한국금융시장의 안전자산 현황 및 수요함수 추정

초록

This study investigates the demand and supply of safe assets in the Korean financial market with the flow of fund table and tries to estimate the government bond demand function. The estimation results show that increases in the government bond supply have reduced the credit risk premium since the 2000s. However, the credit risk premium in the Korean financial market has remarkably increased since the global financial crisis despite an increase in the government bond supply and a decrease in the bond market volatility, which are supposed to reduce the credit risk premium. It suggests that other factors - such as population aging and lowered productivity - seemed to shift safe asset demand.

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