무역기업의 위험관리를 위한 유가와 금융위험 분석
An Analysis of the Structural Risk of Finance and Oil Price for the Risk Management of Trading Firms
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참고문헌
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초록
본 연구는 금융시장 불확실성이 무역기업의 위험을 증가시키는 중요한 요인임을 인식하고, 한국의 일별 및 월별 자료를 이용하여 국제유가 변동을 고려할 때 금리, 주가, 환율 변화에 대한 구조적 충격의 영향을 파악하기 위해 구조적 VAR 모형을 이용하여 분석하였다. 주요 분석결과는 첫째, 구조적 충격들에 대한 유가, 금리, 주가, 환율 변동의 영향은 매우 약하며, 대부분 해당 변수 자체의 충격에만 반응하는 것으로 나타났다. 둘째, 본 연구에서 사용된 변수들 간 이론적 관계는 일별 자료에서보다 월별 자료에서 보다 잘 설명되는 것으로 나타났다. 셋째, 유가와 주가 간 상관관계는 월별 자료에 대한 분석에서 상대적으로 크게 나타났다. 이러한 결과는 유가 충격이 비용요인으로 작용하여 주가와 환율에 영향을 미칠 뿐 아니라 주가와 환율은 경제활동의 결과 원유에 대한 수요적 요인으로서 유가에 영향을 미친다는 것을 의미한다. 이상의 분석결과에 따르면 단기적으로 금리, 주가, 환율 변동에 대한 보다 정확한 예측을 위해 유가 이외에도 거래량 같은 자체적 요인들을 충분히 고려할 필요가 있으며, 중․장기적으로는 유가 변동이 경제활동에 따른 수요적 요인에 크게 의존하므로 국내 뿐 아니라 세계 경기변동 추이를 고려하는 리스크 관리 전략이 필요함을 시사한다.
Abstract
This paper estimates interest rate, stock price, and exchange rate changes in Korean financial market to identify the structural effects of external factors and presents a statistical decomposition of the rate by means of a structural VAR using daily and monthly data. Key findings include the following: First, the responses of oil price, interest rate, stock price, and exchange rate to structural shocks are appeared very weakly and most of responses were caused by the shocks itself. Second, theoretical relationship among variables in this study is more realized in the long-run than short-run. Third, the correlation between oil price and stock price is appeared relatively large in monthly data analysis. It implies that oil price shock have an effect on stock price and exchange rate as a cost factor as well as the shocks of stock price and exchange rate effect on oil price change with demand factor as a result of economic activities. It is recommended, for more correct forecast and effective financial risk management, that considering with variable related factors such as trade volume in the short run and the trend of domestic and world economic performance in the long run.
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