미국 석유시장의 거품과 원인에 대한 분석
Analysis on the Existence and Driving Factors of Bubbles in the U.S. Petroleum Markets
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본 연구에서는 PSY 검정을 활용하여 미국 석유시장에서 가격 거품의 발생과 붕괴 시점을 살펴보았다. 또한, 석유가격 거품의 발생에 영향을 미치는 주요 설명변수를 OLS와 Probit 회귀모형을 활용하여 추정하였다. 표본기간은 1990년 4월부터 2022년 7월까지 388개월이다. 실증분석 결과를 요약하면 다음과 같다. 첫째, GSADF 검정에 따르면 3개 석유가격 모두에서 일정 기간 부분적으로 거품이 존재하였다. 둘째, BSADF 검정 결과에 의하면 가격별로 거품 기간의 내용에서 차이가 난다. 셋째, OLS와 Probit 회귀분석에서는 석유가격 거품 발생에 있어 양의 관계를 보인 생산자물가지수와 미국 달러화 대비 유럽 유로화 환율, 그리고 음의 관계를 보인 원유와 석유제품 공급량, S&P500 주가지수, 그리고 장기 이자율을 확인할 수 있었다. 또한, Probit 회귀분석 결과를 토대로 미국 석유시장의 가격 거품 발생 가능성에 미치는 영향이 생산자물가지수, 원유와 석유제품 공급량, S&P500 주가지수, 장기 이자율, 그리고 대미환율의 순서로 높게 나타났다.
Abstract
Using the PSY test, this study investigated the timing of boom and burst of bubbles in the U.S. petroleum markets. In addition, it estimated the explanatory variables that cause price bubbles based on the OLS and Probit models. The sample covers from April 1990 to July 2022 including 388 monthly observations. The empirical results are as follows. First, GSADF test results show that there partially appeared bubbles in all of three prices. Second, there are some differences in the bubble date-stamping across prices. Third, OLS and Probit results indicate that while bubbles are positively related to producer price index and exchange rate of US dollar to European euro, they are inversely associated with supplies of crude oil and petroleum products, S&P500 stock index, and long-term interest rate. In addition, the Probit results suggest that the probability of bubbles are influenced by producer price index, supplies of crude oil and petroleum products, S&P500 stock index, long-term interest rate, and exchange rate of US dollar to European euro by magnitude in order.
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