최근 유가상승 요인에 관한 小考
Accounting for Crude Oil Prices: A Historical Decomposition
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초록
본 연구는 구조적 벡터자기회귀(structural vector autoregression:SVAR)모형을 이용하여 원유의 수급요인 및 투기적 요인이 최근의 유가상승에 미치는 효과를 실증적으로 분석한다. 역사적 분해(historical decomposition) 결과에 따르면 2004년 이후부터 진행된 현재의 유가상승 추세는 세계 원유수요 증가에 의해 촉발되었으며, 2007년 중에는 유가상승의 상당부문이 수급불안 요인에 의해 설명될 수 있다는 점이 발견되었다. 특히, 이와 같은 수급불안에 따른 투기적 수요의 증가는 2007년 하반기 중의 급속한 유가상승을 설명하는데 많은 도움을 주는 것으로 나타났으나, 그 효과는 수급요인에 비해 크게 나타나지 않았다. 이 외에도 본 연구는 최근 들어 제기되고 있는 달러화 평가절하가 유가상승에 미치는 효과에 대한 통계적 추론을 시도한다. 이를 위해 유가상승률과 달러화 평가절하율로 구성된 벡터자기회귀모형을 구성한 후, Wald검정 및 우도비검정과 그랜저 인과관계 검정을 실시하였다. 그 결과, 달러화 평가절하율이 유가상승률에 미치는 효과는 통계적 유의성을 크게 갖지 못하는 것으로 나타났다.
Abstract
This paper empirically examines the role of factors responsible for recent hikes of crude oil prices. For this purpose, a 4 variable SVAR (Structural Vector Autoregression) model, composed of the world demand for crude oil, the world supply of crude oil, the speculative demand for crude oil and real crude oil prices, is constructed. The innovation-accounting technique of historical decomposition seems ideally suited as a main vehicle for this purpose. In application, using quarterly data from 1986:01 to 2008:01 reveals that the upsurge of the crude oil demand in 2004 triggers the rises in crude oil prices. Moreover, as the supply of crude oil fails to accommodate the increase in the world demand during 2007, a large portion of the rises in crude oil prices is able to be accounted for the demand-supply balance. Even though the effects of the speculative demand on oil prices seem less critical than the demand-supply balance, it also plays an important role in explaining the increases in oil prices during 2007. In this study, the effects of depreciation of the U.S. dollar on oil prices are also investigated. However, the Wald test, the likelihood ratio test, and the Granger causality test conducted by using bivariate VAR model indicate that the depreciation of the U.S. dollar does not have statistically significant effects on the rises in oil prices.
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