국제유가의 공급 및 수요충격이 국내 산업의 주가에 미치는 영향
Impact of Supply and Demand of International Oil on the Korea Stock Price index of Domestic Industry
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본 연구는 국제유가의 공급 및 수요 충격이 국내 주요 산업에 미치는 파급효과를 분석하기 위한 모형을 제시하고 국내 산업의 주가지수에 미치는 파급효과를 추정하는 것을 목적으로 한다. 본 연구에서는 국제유가충격의 공급 및 수요 측 요인을 식별하는 모형에 비선형 변수를 포함하여 분석함으로써 모형의 설명력을 더 높일 수 있었고 이를통해 양의 충격과 음의 충격에 대한 비대칭적 충격반응을 분석할 수 있었다. 충격반응모형을 통해 양의 공급 및 수요 충격에 대해서 음의 공급 및 수요 충격은 거의 모든 산업별 주가수익률에서대칭적인것으로나타났다. 또한세계원유공급에양의한단위표준편차만큼의 충격이 왔을 때 보다 세계원유수요에 양의 한 단위 표준편차만큼의 충격이 왔을 때 반응의 크기뿐만 아니라 주가수익률에 상당기간 지속적인 영향을 미치는것을 확인 할 수 있었다.
Abstract
The purpose of this study is to present an appropriate model for analyzing the effects on the major domestic industries in terms of supply and demand shocks of international oil prices and to estimate the effects on the domestic stock index. In this study, we analyzed non-linear variables that can explain the asymmetric effects in the model that identifies the demand side factors of the oil price shock. As a result, we could analyze the asymmetric impulse response of positive impact and negative impact. Impulse response model shows that negative supply and demand shocks for positive supply and demand shocks have a mirror image in almost all industry stock returns. Moreover, it is important to note that not only the size of the response but also the stock price has a sustained impact on the rate of return for a considerable period of time when impacts of global crude oil demand are affected by a single unit of standard deviation.
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