유가충격의 요인별 분석 및 한국주식시장과의 관계
The factor analysis of oil price shocks and the relationship with Korean stock market
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초록
본 연구는 유가충격을 구조적 VAR 모형을 통해 공급, 수요, 시장요인으로 구분하고, 해당 요인이 업종별 주식수익률의 변동에 미치는 영향력을 분석하였다. 이를 통해 다음과 같은 연구결과를 얻을 수 있었다. 첫째, 2000년대 들어 발생한 대규모의 유가충격은 수요 및 시장요인에 의해 주로 발생했다. 둘째, 전기·전자업종을 제외한 대부분의 생산재 및 소비재 업종의 주식수익률은 상대적으로 수요충격보다는 공급충격에 더 크게 변동한다. 셋째, 주식수익률이 업종별로 유가충격요인에 따라 변동정도가 달라지는 것은 업종에 따라 상이한 유가영향력의 파급경로(공급 또는 수요측면)와 관련이 있다.
Abstract
This paper analyzes the effect of oil price shocks to the rates of stock returns of 9 industries including classifying the shocks into supply, demand, and market shock through structural VAR model. The findings are as follows. Firstly, some large-scale oil price shocks in the 2000s were attributable to demand and market shock. Secondly, the rates of stock returns of most industries in capital & consumer goods except for electricity and electrical equipment respond more sensitively from supply shock than from demand shock. Finally, the reason why the rates of stock returns per industry respond differently from oil price shocks is related with different transmission path(supply or demand) of oil price effect by industry.
참고문헌 (12)
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