6대 주요 비철금속의 국제시장가격 변동요인 구조벡터회귀분석
SVAR Analysis of Factors Affecting Fluctuations of Six Major Nonferrous Metal Prices
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초록
본 연구에서는 원자재 수급의 변동이 국제 원자재 가격 상승에 미치는 영향을 구조적 벡터자기회귀 모형을 이용하여 정량적으로 분석하였다. 실증분석을 위하여 1945년부터 2019년까지 구리, 알루미늄, 납, 아연, 니켈, 주석 등 LME 시장이 지정한 6대 비철금속의 세계 생산량 및 가격, 세계 GDP 자료를 활용하였다. 실증분석 결과에 따르면, 수요, 공급, 상품별 수요 충격이 가격에 미친 영향은 비철금속의 종류에 따라 상이한 것으로 나타났다. 그러나 충격반응분석과 역사적요인분해 분석 결과 6개 비철금속 가격 모두 공급충격보다 수요 충격에 의해 더 큰 영향을 받은 것으로 나타났다.
Abstract
This study uses the structural vector autoregression (SVAR) model to examine the dynamic effects of global supply and demand shocks on commodity prices. For this, annual data from 1945 to 2019 of the global GDP, world production, and real prices of six nonferrous metals (copper, aluminum, lead, zinc, nickel, and tin) were used. The nonferrous metals exhibited different responses to supply, demand, and commodity-specific demand shocks. However, in both the impulse response function and historical decomposition analysis, the prices of all metals were mainly driven by demand shocks rather than supply shocks.
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