국제원유시장의 장기기억속성에 관한 연구
Estimation of Long-Term Memory in World Oil Markets
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초록
본 논문에서는 국제원유시장의 특성을 파악하기 위하여, Dubai 원유현물가격 변동성과 OPEC Basket 원유현물가격 변동성, 그리고 OPEC 원유생산 변동성과 전세계 원유생산 변동성에 대하여 지금까지 선행연구에서 이미 타당성을 인정받은 세 가지 실증 분석 방법인 수정 R/S 분석(modified R/S analysis)에 의한 Hurst 지수(Hurst exponent), V-통계량(V-statistic), 그리고 ARFIMA(autoregressive fractional integration moving average)모형 검정방법을 모두 사용하여 장기기억(long-term memory) 속성을 검정하였으며, 장기기억속성에 대한 분석은 동일 시장에 대해서도 분석 기간이나 시기에 따라 결과가 다를 수 있으므로, 국제원유시장에 대한 객관적인 비교를 위해 분석 기간을 1991년 1월부터 2008년 7월까지 같은 기간으로 설정함으로써 기간이나 시기의 변화에 따른 차이점을 배제하였다. 또한, 시간척도 에 대하여 까지로 하여 시간척도의 변화에 따른 장기기억속성의 변화까지 검정한 결과, 국제원유시장에는 시간척도 가 일때 장기기억속성이 존재함을 알 수 있었다.
Abstract
The studies until now are concluding in stock market follows random walk process by rational expectation hypothesis and efficient market hypothesis developing a lot of probability models. However, random walk process in market has a lot of questions actually. The main objective of this paper is to test existence of the long-term memory in world Oil Markets. We examine the long memory properties in the oil spot prices fluctuation and oil production fluctuation using the modified R/S analysis, V-statistic, and ARFIMA(autoregressive fractional integration moving average). For this purpose we investigate the statistical properties of data for the period (1991.1.-2008.7.) in monthly frequency. We found that the world oil markets exhibits the long memory process of the oil spot prices fluctuation and oil production fluctuation. In conclusions, this paper shows existence of the long-term memory in world oil markets.
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