미국 에너지시장 가격과 우리나라 전력시장 가격의 비대칭적 조정과정에 관한 연구
Research on the Asymmetric Adjustment between the US Energy Market and Korean Electricity
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초록
본 연구에서는 미국의 에너지시장 가격(WTI 가격, Henry Hub 가격)과 우리나라 전력시장의 계통한계가격(smp: system marginal price) 간 연계성을 살펴보았다. 공적분 잔차가 균형으로 회복하는 과정의 비대칭성을 반영하기 위해 threshold 공적분 접근방법이 활용되었다. 분석결과 미국의 석유가격 및 천연가스가격과 우리나라 전력가격은 장기적 균형관계를 갖지만, 오차의 조정과정은 비대칭적으로 이루어지는 것으로 나타났다. 우리나라 전력시장 가격은 미국의 Henry Hub 가스가격보다 WTI 원유가격의 변화에 더 민감하게 반응한다는 것을 확인할 수 있었다.
Abstract
This study examines the integration between the United States (US) energy market prices (the WTI price of the oil market and the Henry Hub price of the natural gas market) and the Korean system for the marginal price of the power market. The threshold cointegration approach was used to reflect the asymmetric process in which the cointegration residuals were restored to equilibrium. The results showed that the WTI price and Henry Hub price in the US and the marginal price system in Korea exhibited a long-term equilibrium relationship, although the adjustment of the error was asymmetric. It was confirmed that the marginal price system in Korea is more sensitive to the changes in the WTI prices in the US.
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