석유시장 요인별 충격에 따른 천연가스시장 반응
The Responses of Natural Gas Market to the Structural Shocks in Oil Market
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참고문헌
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초록
본 연구에서는 석유시장에서의 요인별 충격에 따른 천연가스가격의 반응을 실증적으로 분석한다. 이를 위해, 원유공급량, 글로벌 경기지수, 원유가격, 천연가스가격 등을 내생변수로 설정하고SVAR 모형을 추정하였다. 표본자료로서 1992년 1월부터 2021년 9월까지 월간자료를 사용한다. 역사적 요인분해 기법을 활용한 실증분석 결과에 따르면, 최근 들어 천연가스가격 변동에 있어 석유 공급요인의 중요도는 상대적으로 감소한 반면 글로벌 수요요인의 상대적 중요도가 높아졌다. 또한 석유시장 고유 요인은 여전히 가장 중요한 것으로 나타났다.
Abstract
In this study, natural gas price responses to different factors of the oil market were analyzed. A structural VAR model was developed to include crude oil supply, global economic indicators, crude oil price, and natural gas price as endogenous variables. Sample monthly data from January 1992 to September 2021 were used. The results obtained using the historical decomposition method indicated that the contribution of crude oil supply decreased, whereas that of global demand factor increased. In addition, the unique crude oil market factor was also an important influence.
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