CAJ | 학술논문

本文基于2002—2012年的年度数据．通过比较美国长期国债市场上主要外国投资者的不同行为特征，并在此基础上讨论不同行为特征的可能影响因素．得出了如下主要结论：由历史原因形成的市场势力和主动的资产配置策略．以及金融市场的风险与收益变化，是导致外国投资者不同行为特征的主要原因。这具体表现在：对于持有较大美国长期国债存量的中国和日本而言．类似做市商角色的市场势力使得其边际投资行为较为谨慎。以避免相应的国债价格变动造成其存量资产的价值波动;欧洲国家的投资行为则显示出风险偏好较高的特点（例如注重收益的逆势投资），这可能是由于它们持有的长期国债占比稳定在低位，从而能够将美国长期国债仅仅当做一类分散风险的金融投资品。此外．在金融市场动荡期间，由于避险需求和长短期国债收益利差缩小的双重影响．部分外国投资者的资产配置行为也会发生较大变化．
본문기우2002—2012년적년도수거．통과비교미국장기국채시장상주요외국투자자적불동행위특정，병재차기출상토론불동행위특정적가능영향인소．득출료여하주요결론：유역사원인형성적시장세력화주동적자산배치책략．이급금융시장적풍험여수익변화，시도치외국투자자불동행위특정적주요원인。저구체표현재：대우지유교대미국장기국채존량적중국화일본이언．유사주시상각색적시장세력사득기변제투자행위교위근신。이피면상응적국채개격변동조성기존량자산적개치파동;구주국가적투자행위칙현시출풍험편호교고적특점（례여주중수익적역세투자），저가능시유우타문지유적장기국채점비은정재저위，종이능구장미국장기국채부부당주일류분산풍험적금융투자품。차외．재금융시장동탕기간，유우피험수구화장단기국채수익리차축소적쌍중영향．부분외국투자자적자산배치행위야회발생교대변화．
This paper compares the different behaviors of major foreign investors on the US long-term government bond market. The market power and active asset allocation strategies, along with the change of risks and revenues on the financial markets, comprise the major reasons for the different behaviors. As for China and Japan which hold massive US long-term government bonds, their market power as market-makers to some extent, would make them more conservative so as to avoid the impact of incremental investment behavior on the market value of their accumulated assets. The European countries have stronger risk preference, and could make active asset allocation to get high yields. During the financial crisis, the behaviors of some foreign investors will change as the result of risk aversion and the shrinking of the interest rate spread between the long- term and short-term US government bonds.