사업다각화가 수익률 유가노출(oil price exposure)에 미치는 효과: 국제유가의 구조적 변화 시기를 감안한 미국 석유기업 사례
The effect of business diversification on oil price exposure: a case study of US oil firms with consideration of oil price structural breaks
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초록
본 논문은 사업다각화 사례연구로서 거의 다루어지지 않은 미국의 석유기업을 대상으로 2000년부터 2012년까지 사업다각화가 ‘수익률 유가노출’(oil price exposure)에 미치는 효과를 추정하고자 한다. 특히 해당시기 동안 국제유가의구조적 변화 시기를 Bai-Perron(2003)의 다중구조변화모형을 식별하여, 국제유가의 구조적 변화 시기에 따라 기업수익률의 유가노출에 미치는 사업다각화의효과를 기존의 대다수 연구들이 활용한 Multi-factor 모형으로 분석해보고자 한다. 이를 위한 실증 분석의 결과는 다음과 같다. 첫째, Bai-Perron(2003) 다중구조변화법을 통해 2000년∼2012년 동안 WTI 선물가격이 Schwarz 기준으로4번, LWZ 기준으로 2번의 구조 변화가 발생한 것으로 확인되었으며, 둘째, Bai-Perron의 구조변화를 기점으로 하위기간(sub-periods)별 분석으로 1,588개미국 석유기업의 수익률 유가노출이 2004년 중반부터 시작된 신고유가시대 이전 보다 이후에 더욱 통계적으로 유의하게 추정되었다. 이는 상대적으로 ‘유가상승기’에 석유기업수익률이 유가변동에 더욱 노출되는 경향이 강해진다고 해석할 수 있다. 마지막으로 사업다각화와 관련된 본 논문의 핵심 결과로서, 387 개 기업의 분해분석을 통해 사업다각화는 식별된 모든 하위기간에서 기업의 수익률 유가노출을 낮추는 효과를 가진 것으로 확인되었다.
Abstract
This paper estimates the effect of business diversification on oil price exposure for the US oil firms, from 2000 to 2012. In specific, by considering the multiple structure breaks in oil prices based on Bai-Peron (2003), I examine how oil price exposure can be differently estimated among the breaks. The findings as as follows: (1) It is identified that WTI has 4 breaks under the criterion of Schwarz and 2 breaks under the LWZ criterion. (2) after the break identified in the year of 2004, US oil firms are more likely to be significantly exposed to oil prices (3) decomposition analysis reveals that business diversification lowers the degree of oil price exposure.
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