지정학적 위기와 탱커운임의 인과관계 분석
Analysis of Causality between Geopolitical Risk and Tanker Freight Rates
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초록
본 연구는 지정학적 위기와 탱커운임의 인과관계를 분석하였다. 글로벌 지정학위기를 나타내는 지수 3가지(GPR, GPR Threat, GPR Act)와 탱커선 운임지수 4가지(ClarkSea Tanker, VLCC, Suezmax, Aframax)를 대상으로 2000년 1월부터 2022년 12월 기간의 월간 데이터를 수집하고 벡터자기회귀모형을 기반으로 하는 그랜저 인과관계를 검정하였다. 분석 결과, 지정학적위기는 탱커선 운임에 부(-)의 영향을 미치는 것으로 나타났다. 그러나, 이러한 인과관계는 선형별로 다르게 나타났는데, 주로 대형선박에 한해서 유효한 것으로 분석되었다. 충격반응 분석 결과, 탱커운임에 대한 지정학적 위기의 인과성은 6개월 이내의 단기에 소멸되는 것으로 나타났다.
Abstract
This study investigates the causal relationship between geopolitical risk and the tanker freight rates. In this regard, the dataset for 3 gepolitical risk indexes (GPR, GPR Threat and GPR Act) and 4 freight rates for tankers (ClarkSea, VLCC, Suezmax and Aframax) is analyzed in the Granger causality tests based on vector autoregressive for the period of January 2000 to December 2022. The results indicate that there is a negative causality running from geopolitical risk to tanker freight rates. However, the negative causality is statistically significant only for large-sized tankers. In addition, the impluse analysis shows that the negative causality is significant in the short-run while diminishes within half a year.
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