석유제품 선물거래 도입의 후생효과 분석
Analysis on the Welfare Effect of Introduction of Petroleum Product Futures Trading
2
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
본 연구에서는 국내 휘발유와 경유를 대상으로 선물계약이 도입될 경우 소비자와 생산자의 후생변화를 실증적으로 분석한다. 평균-분산 접근방식에 근거하여 위험프리미엄을 도출하고 위험기피도, 헤지비율, 현물가격과 선물가격의 상관계수를 파라미터로 후생변화를 계산한다. 시뮬레이션 결과에 따르면 세 가지 파라미터의 값이 증가할수록 사회후생은 증가하는 것으로 나타난다. 또한 석유제품별로 수요탄력성과 공급탄력성의 상대적인 차이로 인하여 소비자잉여와 생산자잉여의 증가분 크기가 상이하게 산출된다.
Abstract
This study empirically analyzes the welfare changes of consumers and producers induced by the introduction of futures contracts based on the domestic gasoline and diesel fuel. For this purpose, the risk premium is calculated based on the mean-variance approach, and the welfare changes are computed by parameterizing risk aversion, hedge ratio and the correlation between spot and futures prices. According to the simulation results, the social welfare turns out to be improved as the three parameters are increased. In addition, due to the relative differences in the demand and supply elasticity by petroleum product the increments of consumers' and producers' surplus are calculated with different magnitude.
참고문헌 (10)
- 양승룡, "상품선물을 통한 가격위험 관리의 효과분석", 농업경제연구, 40, pp.57~83 (1999)
- Chari, V, "The Simple Analytics of Commodity Futures Markets: Do They Stabilize Prices? Do They Raise Welfare?", pp.12~24 (1990), FRB of Minneapolis
- Chari, V., "Price Stability and Futures Trading in Commodities", Quarterly Journal of Eco, 105, pp.527~534 (1990)
- Gemmill, G., "Forward Contracts or International Buffer Stocks? A Study of Their Relative Efficiencies in Stabilising Commodity Export Earnings", Economic Journal, 95, pp.400~417 (1985)
- Gilbert, C., "Futures Trading and the Welfare Evaluation of Commodity Price Stabilisation", Economic Journal, 95, pp.637~661 (1985)
- Lence, S., "Do Futures Benefit Farmers Who Adopt Them?" (2003), FAO of United Nations
- Sandmo, A., "On the Theory of the Competitive Firm Under Price Uncertainty", American Economic Review, 61, pp.65~73
- Turnovsky, S., "The Determination of Spot and Futures Prices with Storable Commodities", Econometrica, 51, pp.1363~1387 (1983)
- Turnovsky, S, "The Stabilizing and Welfare Properties of Futures Markets: A Simulation Approach", International Economic Review, 26, pp.277~303 (1985)
- Zant, W., "Hedging Price Risks of Farmers by Commodity Boards: A Simulation Applied to the Indian Natural Rubber Market", World Development, 29, pp.691~710 (2001)