천연가스 수입을 위한 선택적 헤징전략
Selective Hedging Strategy for Natural Gas Imports
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초록
본 연구에서는 천연가스의 가격변동 위험에 대처하기 위해 전통적인 방식의 헤징전략인 1:1 헤징이나 OLS 헤징과 비교하여 이동평균을 활용한 선택적 헤징의 유용성을 실증적으로 분석하였다. 이를 위해, 조달헤징 시나리오에 따라 3주에서 12주까지 4개 헤징기간별로 조달비용 흐름을 시뮬레이션하고 이들의 평균과 분산을 비교하였다. 표본자료는 미국 헨리허브 천연가스 현물가격과 선물가격이다. 분석대상 기간은 2017년 1월부터 2021년 10월까지 245주간이다. 실증분석 결과에 따르면, 4개 헤징전략 모두가 헤징하지 않는 경우에 비해 조달비용의 평균과 분산 감소 측면에서 우월한 것으로 나타났다. 조달비용의 평균 감소 측면에서는 1:1 헤징, 선택적 헤징(1:1), OLS 헤징, 그리고 선택적 헤징(OLS) 순으로 우월하게 나타난다. 분산 감소, 즉 헤징효율성 측면에서는 선택적 헤징(1:1), 1:1 헤징, 선택적 헤징(OLS), 그리고 OLS 헤징 순으로 우월하다는 것을 알 수 있다. 이로써, 선택적 헤징이 1:1 헤징이나 OLS 헤징에 비해 헤징효율성 측면에서 비교우위가 있으며, 선택적 헤징을 통해 조달비용의 절감뿐 아니라 조달비용 흐름의 안정화가 가능하다는 것을 확인할 수 있다.
Abstract
This study analyzes the usefulness of selective hedging strategy based on the moving- averages in order to deal with natural gas price risks compared to the conventional strategies of 1:1 and OLS hedges. For this purpose, it simulates the procurement cost flows based on the hedging scenarios by hedging periods from 3 to 12 weeks, and compares the means and variances of the procurement cost flows. The sample data include the spot prices of U.S. Henry Hub natural gas and the corresponding futures prices traded in the NYMEX. Both daily spot and futures series are converted to monthly averages. The sample period covers from January 2017 to October 2021 (245 weeks). According to the empirical results, all four hedging strategies were superior to no hedge alternative. In terms of procurement cost reduction, the descending order is as follows: 1:1 hedge, selective hedge(1:1), OLS hedge, and selective hedge(OLS). Variance reductions were revealed in descending order as follows: selective hedge(1:1), 1:1 hedge, selective hedge(OLS), and OLS hedge. Therefore, one could identify that the selective hedge scheme outperforms the strategies of 1:1 hedge or OLS hedge in terms of hedging effectiveness. This implies that selective hedge could reduce procurement costs and stabilize the cost flows.
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