에너지 가격과 농산물 가격 사이의 연계성: 분위별 교차 스펙트럴 방법을 이용한 실증연구
Energy Prices and Agricultural Product Prices: An Empirical Study using the Quintile Cross-spectral Method
0
조회
0
다운로드
1
인용
0
참고문헌
키워드
초록
본 연구에서는 분위별 교차-스펙트럴 방법을 이용하여 에너지 시장과 농산물 시장 가격 움직임 사이의 상호 연계성을 분석하였다. 본 연구의 분석 대상은 에너지 상품(원유, 에탄올), 바이오 에너지의 원료 작물(옥수수, 대두), 비원료 식량 작물(쌀, 귀리), 비식량 작물(면화, 커피)로 총 8가지이다. 본 연구의 주요 결과는 다음과 같다. 첫째, 식량 작물 간 수익률 상관관계는 식량 작물과 타 작물 간의 수익률 상관관계보다 상대적으로 높게 나타났다. 특히 바이오 연료의 원료 작물인 옥수수와 대두 수익률 간의 유사도는 단기, 중기, 장기의 모든 시간 주기에서 상대적으로 높게 나타났다. 둘째, 원유의 경우 바이오 연료의 원료 작물인 옥수수, 대두와 전반적으로는 뚜렷한 연계를 보이지 않았다. 하지만 장기에서는 극단적으로 낮은 시장수익률 상황에서 쌀과 귀리 등 비원료 식량 작물과의 연계성이 확인되었다. 셋째, 에탄올의 경우 바이오 연료의 원료 작물인 옥수수, 대두와 연계성이 존재하는 것으로 나타났다. 특히 바이오 에탄올의 원료 작물인 옥수수와의 연계성은 단기, 중기, 장기에서 모두 뚜렷하게 확인되었다. 넷째, 에탄올과 원유 시장수익률 간의 직접적인 연계가 존재한다고 보긴 어렵다.
Abstract
In this paper, we analyzed the relationship between the energy market and the agricultural products market using the quintile cross-spectral method. Our analysis used eight time series data; energy commodities(crude oil, ethanol), bio-energy raw crops(corn, soybean), non-raw food crops(rice, oats), and non-food crops(cotton, coffee). The main results of this study are as follows. First, the correlation between food crop returns was relatively higher than that between food crops and other crops. In particular, the coherency between corn and soybean returns, which are raw materials for bio-fuels, was relatively high in all time scales in the short, medium and long term. Second, crude oil did not show a clear relationship with corn and soybeans, which are raw materials for bio-fuels. However, in the long run, the relationship between crude oil and non-energy food crops(rice and oats) was confirmed in a market situation with extremely low returns. Third, ethanol was found to have a relationship with corn and soybeans, which are raw materials for bio-fuels. Especially, the relationship between ethanol and corn, the raw material corp of bio-ethanol, was clearly confirmed at all time scales. Fourth, it is difficult to confirm a direct linkage between ethanol and crude oil market returns.
참고문헌 (35)
- Balcombe, K, "Bayesian estimation of nonlinear vector error correction models: The case of sugar-ethanol-oil nexus in Brazil", American Journal of Agricultural Economics, 90(3), pp.658~668 (2008)
- Quantile cross-spectral measures of dependence between economic variables, "Baruník, J", ~ (2015)
- Baruník, J, "Quantile coherency: A general measure for dependence between cyclical economic variables", Econometrics Journal, 22(2), pp.131~152 (2019)
- Agriculture’s Supply and Demand for Energy and Energy Products, "Beckman, J.", United States Department of Agriculture, Economic Research Service, ~, pp.Economic Information Bulletin No. 112 (2013)
- Beckman, J., "Structural change in the biofuels era", European Review of Agricultural Economics, 39(1), pp.137~156 (2012)
- Chang, T.-H, "The substitutive effect of biofuels on fossil fuels in the lower and higher crude oil price periods", Energy, 35(7), pp.2807~2813 (2010)
- Chen, S. -T., "Modeling the relationship between the oil price and global food prices", Applied Energy, 87(8), pp.2517~2525 (2010)
- Ciaian, P, "Interdependencies in the energy-bioenergy-food price systems: A cointegration analysis", Resource and Energy Economics, 33(1), pp.326~348 (2011)
- Dickey, D, "Distribution of the estimators for a time series with a unit root", Journal of American Statistical Association, 74(366), pp.427~431 (1979)
- Du, X., "Speculation and volatility spillover in the crude oil and agricultural commodity markets: A Bayesian analysis", Energy Economics, 33(3), pp.497~503 (2011)
- Fowowe, B, "Do oil prices drive agricultural commodity prices? Evidence from South Africa", Energy, 104, pp.149~157 (2016)
- Gohin, A, "The long-run impact of energy prices on world agricultural markets: The role of macro-economic linkages", Energy Policy, 38(1), pp.333~339 (2010)
- Hamilton, J. D, "Understanding crude oil prices", Energy Journal, 30(2), pp.179~206 (2009)
- Hanson, K., "Sectoral effects of a world oil price shock: Economy wide linkages to the agricultural sector", Journal of Agricultural and Resource Economics, 18(1), pp.96~116 (1993)
- Harri, A., "The relationship between oil, exchange rates, and commodity prices", Journal of Agricultural and Applied Economics, 41(2), pp.501~510 (2009)
- Commodity price volatility in the biofuel era: An examination of the linkage between energy and agricultural markets, "Hertel, T. W", National Bureau of Economic Research, Inc, ~, pp.NBER Working Papers 16824 (2011)
- Jebabli, I., "On the effects of world stock market and oil price shocks on food prices: An empirical investigation based on TVP-VAR models with stochastic volatility", Energy Economics, 45, pp.66~98 (2014)
- Ji, Q, "How does oil price volatility affect non-energy commodity markets?", Applied Energy, 89(1), pp.273~280 (2012)
- Kley, T, "Quantile-based spectral analysis in an object-oriented framework and a reference implementation in R: The quantspec package", Journal of Statistical Software, 70(3), pp.1~27 (2016)
- Koirala, K. H., "Energy prices and agricultural commodity prices: Testing correlation using copulas method", Energy, 81, pp.430~436 (2015)
- Kristoufek, L., "Correlations between biofuels and related commodities before and during the food crisis: A taxonomy perspective", Energy Economics, 34(5), pp.1380~1391 (2012)
- A Note on Rising Food Prices, "Mitchell, D", World Bank, ~, pp.Policy Research Working Paper No. 4682 (2008)
- Mokni, K, "Empirical analysis of the cross-interdependence between crude oil and agricultural commodity markets", Review of Financial Economics, 38(4), pp.635~654 (2020)
- Nazlioglu, S, "World oil and agricultural commodity prices: Evidence from nonlinear causality", Energy Policy, 39(5), pp.2935~2943 (2011)
- Phillips, P. C. B, "Testing for a unit root in time series regression", Biometrika, 75(2), pp.335~346 (1988)
- Rafiq, S, "Explaining commodity prices through asymmetric oil shocks: Evidence from nonlinear models", Resources Policy, 50(4), pp.34~48 (2016)
- Reboredo, J. C, "Do food and oil prices co-move?", Energy Policy, 49(10), pp.456~467 (2012)
- Su, C. W., "Do oil prices drive agricultural commodity prices? Further evidence in a global bio-energy context", Energy, 172, pp.691~701 (2019)
- Thompson, W., "How does petroleum price and corn yield volatility affect ethanol markets with and without an ethanol use mandate?", Energy Policy, 37(2), pp.745~749 (2009)
- Tyner, W. E., "The integration of energy and agricultural markets", Agricultural Economics, 41(s1), pp.193~201 (2010)
- Vacha, L., "Time-frequency dynamics of biofuel-fuel-food system", Energy Economics, 40, pp.233~241 (2013)
- Vincent, D. P., "The short-term effect of domestic oil price increases on the Australian economy with special reference to the agricultural sector", Australian Journal of Agricultural Economics, 23(2), pp.79~101 (1979)
- "R package "corrplot": Visualization of a correlation matrix version 0.84" (2017)[URL]
- Zhang, C, "The effect of global oil price shocks on China’s agricultural commodities", Energy Economics, 51(5), pp.354~364 (2015)
- Zhang, Z., "Food versus fuel: What do prices tell us?", Energy Policy, 38(1), pp.445~451 (2010)