국제 유가 변동성이 국내 휘발유 가격 비대칭성에 미치는 영향
An Effect of Volatility of Crude Oil Price on Asymmetry of Domestic Gasoline Price Adjustment
1
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
Purpose - This study examines the effects of Dubai oil price and the volatility on the asymmetry of domestic gasoline price adjustment. Additionally, the study investigates the effects of “Altteul” gas-station and tax-cut policies on asymmetry. Design/methodology/approach - Firstly, the study calculates proxies for asymmetry and volatility of each window(every 3-month) by error-correction model and GARCH(1, 1) using daily domestic gas price and Dubai oil price from 2008/04/15 to 2022/12/31. Secondly, the study investigates the effects of the increasing rate of Dubai oil price, volatility, “Altteul” gas-station and tax-cut policies on asymmetry. The autoregressive distributed lag regression model is employed for estimations. Findings - The study finds that changes in the increasing rate of Dubai oil price and both types of volatility of Dubai oil price increase asymmetry. While “Altteul” gas-station and tax-cut policies decrease asymmetry. Additionally, the study fails to find that asymmetry in the Korean gasoline market in the estimation with total observations. Research implications or Originality - An increase in Dubai oil price volatility means an increase in cost uncertainty for gas-station owners. Since cost uncertainty is a kind of financial risk, the increase in volatility reinforces the asymmetry. The study provides supporting evidence for the idea.
Abstract
Purpose - This study examines the effects of Dubai oil price and the volatility on the asymmetry of domestic gasoline price adjustment. Additionally, the study investigates the effects of “Altteul” gas-station and tax-cut policies on asymmetry. Design/methodology/approach - Firstly, the study calculates proxies for asymmetry and volatility of each window(every 3-month) by error-correction model and GARCH(1, 1) using daily domestic gas price and Dubai oil price from 2008/04/15 to 2022/12/31. Secondly, the study investigates the effects of the increasing rate of Dubai oil price, volatility, “Altteul” gas-station and tax-cut policies on asymmetry. The autoregressive distributed lag regression model is employed for estimations. Findings - The study finds that changes in the increasing rate of Dubai oil price and both types of volatility of Dubai oil price increase asymmetry. While “Altteul” gas-station and tax-cut policies decrease asymmetry. Additionally, the study fails to find that asymmetry in the Korean gasoline market in the estimation with total observations. Research implications or Originality - An increase in Dubai oil price volatility means an increase in cost uncertainty for gas-station owners. Since cost uncertainty is a kind of financial risk, the increase in volatility reinforces the asymmetry. The study provides supporting evidence for the idea.
참고문헌 (18)
- 김형건, "국제 유가에 대한 국내 휘발유의 가격 조정 분석: 분위수 자기회귀시차분포 모형을 사용하여", 자원환경경제연구, 31(4), pp.755~775 (2022), 한국환경경제학회
- 오선아, "국내 석유제품시장의 가격비대칭과 시장지배력 연구", 에너지경제연구, 14(3), pp.1~25 (2015), 재단법인 에너지경제연구원[DOI]
- 정준환, "알뜰주유소 전환으로 인한 자영주유소의 휘발유가격 인하효과 분석", 에너지경제연구, 12(1), pp.125~158 (2013), 재단법인 에너지경제연구원[DOI]
- Borenstein, S., "Do Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?", The Quarterly Journal of Economics, 112(1), pp.305~339 (1997)
- Dickey, D. A., "Distribution of the Estimators for Autoregressive Time Series with a Unit Root", Journal of the American Statistical Association, 74(366), pp.427~431 (1979)
- Elliott, G., "Efficient Tests for an Autoregressive Unit Root", Econometrica, 64(4), pp.813~836 (1996)
- Granger, C. W. J., "Investigation of Production, Sales and Inventory Relationships using Multicointegration and Non-symmetric Error Correction Models", Journal of Applied Econometrics, 4(SI), pp.S145~S159 (1989)
- Hong, W. H., "Asymmetric Pricing Dynamics with Market Power : Investigating Island Data of the Retail Gasoline Market", Empirical Economics, 58(5), pp.2181~2221 (2020)
- Koh K., "The Effects of Price Competition on Firms' Operations and Market Price: Evidence from a Retail Gasoline Market", Energy Economics, 108(C), pp.8~ (2022)
- Kwiatkowski, D., "Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root : How Sure Are We that Economic Time Series Have a Unit Root?", Journal of Econometrics, 54, pp.159~178 (1992)
- Lee, K., "Oil Shocks and the Macroeconomy : The Role of Price Variability", Energy Journal, 16(4), pp.39~56 (1995)
- Meyer, J., "Asymmetric Price Transmission : A Survey", Journal of Agricultural Economics, 33(3), pp.581~611 (2004)
- Park, J. Y., "Canonical Cointegrating Regressions", Econometrica, 60(1), pp.119~143 (1992)
- Peltzman, S., "Price Rise Faster than They Fall", The Journal of Political Economy, 108(3), pp.466~502 (2000)
- Phillips, P. C. B., "Testing for a Unit Root in Time Series Regression", Biometrika, 75(2), pp.335~346 (1988)
- Pindyck, R. S., "Volatility in Natural Gas and Oil Markets", The Journal of Energy and Development, 30(1), pp.1~19 (2004)
- Radchenko, S., "Oil Price Volatility and the Asymmetric Resoponse of Gasoline Prices to Oil Price Increases and Decreases", Energy Economics, 27(5), pp.708~730 (2005)
- Sadorsky, P., "Oil Price Shocks and Stock Market Activity", Energy Economics, 21(5), pp.449~469 (1999)