Does non-resident demand for US or euro-zone sovereign bonds depend on their returns?

There are two views on what accounts for non-resident demand for US or euro-zone sovereign bonds: A financial choice linked to the returns on these bonds; Demand for liquid and risk-free bonds, unrelated to expected return. We examine the link between returns on US and euro-zone sovereign bonds and non-resident demand for them. We see that non-resident demand for government bonds: In the United States, does not depend on their return. It therefore depends on risk perception and the liquidity of the market for Treasuries; In the euro zone, in contrast, depends positively on the euro long-term interest rate. The return motive therefore appears only for euro-zone government bonds.