가격비대칭성 검정 모형 민감도분석
Sensitivity Analysis on the Price Asymmetry
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초록
본 연구에서는 실증분석을 통해 가격비대칭성 검정 결과와 모형 구조간의 민감도분석을 실시하였다. 특히 분석 기간, 자료의 빈도수, 기준가격, 분석 방법론 등의 네 가지 민감도 요소의 설정을 중심으로 비교연구를 수행하였다. 민감도분석에서 총 90개의 모형을 검정하여 계산된 F 통계량을 활용한 회귀분석을 수행한 결과, 동일시점에서의 가격비대칭성(COIA)에 대해서는 기준가격에 따라 Dubai 원유가격보다 Singapore 국제 휘발유가격이 국내 휘발유소매가격(세전)에 대해 대칭성의 귀무가설을 기각하지 못하는 것으로 나타났다. 또한, 누적조정량의 가격비대칭성(CUIA)에 대해서는 전체 기간(1997년 1월～2009년 9월)에 비하여 고유가 시대(2001년 1월～2009년 9월)에 유의하게 대칭성의 귀무가설이 기각되는 것으로 나타났다. 분석 방법론의 비교에서는 Bettendorf et al.(2003)의 모형을 이용하면 Borenstein et al.(1997)의 모형을 이용하는 경우에 비해 더 대칭성의 귀무가설을(CUIA) 기각하지 못하는 것으로 검정되었다.
Abstract
Many studies about the asymmetry of petroleum products have been conducted. However, there are few studies which performed the study on the sensitivity test on various options related to model setting. In this study, I aimed to test the sensitivity on the results of price asymmetry test with the model structure. Four variables are considered such as data period, frequency, distribution reference, and methodology. Coefficients of the variables and F-statistics were obtained with total 90 models under the null hypothesis of symmetry assumption. Regression was conducted with the F-statistics as a dependent variable and the former four variables as dummy variables. As a results, I could find the statistical significance with some variables; distribution reference, period, and methodology. With the COIA (Cotemporaneous impact asymmetry), Korean retail gasoline price is adjusted more symmetrically with the Singapore product price than Dubai crude oil price. With the CUIA(cumulated impact asymmetry), significant price asymmetry was observed in the period of high oil prices (Jan.2001 to Sep.2009) compared with the whole period(Jan.1997 to Sep.2009). In ECM model the result from the methodology of Bettendorf et al.(2003) tends to be more symmetric than the result from Borenstein et al.(1997).
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