유가와 주가 간의 동적 관계 추정
Estimating the Dynamic Relationship Between Oil Prices and Stock Prices
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본 연구는 원유 수출국과 수입국의 관점에서 글로벌 원유가격과 주가 간의 동적 관계를 조사하고자 한다. 1997년 10월부터 2023년 10월까지 BRICS(브라질, 러시아, 인도, 중국, 남아프리카공화국)를 대상으로MS-VAR 모형을 이용하여 유가와 주가 간의 관계를 살펴본다. 두 국면 모두에서 유가에서 주식시장으로이어지는 Granger 인과관계는 BRICS 국가들에서 발견되지 않았다. 충격반응분석 결과에서 유가 충격에 대한 주식시장의 반응이 모든 국가에 걸쳐 국면에 따라 다르게 나타났다. 특히 중국을 제외한 모든 국가의 저평균-고변동성 국면에서 예상치 못한 유가 충격에 대한 주식시장의 반응이 양(+)의 값으로 통계적으로 유의한 것으로 나타났으며, 이러한 결과는 이들 국가에서 유가 상승이 수요 측면의 충격으로 평가될 수 있다. 원유시장의 구조적 변화(structural changes)가 유가의 불확실성(uncertainty)을 확대하고 더불어 여러 거시·경제적 충격이 확대되었음을 시사한다. 유가의 음(-)의 충격에 따른 변동성(volatility)의 확대 및 불확실성의증가를 고려한 경우, 유가의 불확실성 기간의 예측을 기반으로 투자와 생산을 구체적으로 계획해야 할 필요성이 가일층 더 커졌다. 다음으로 유가 상승에 따른 변동성 확대뿐 아니라 금융 위기에 따른 유가 급락에따른 변동성 확대 역시 동시에 현저하게 나타나고 있기 때문에 유가 변동성의 충격에 대응한 정부의 효율적및 효과적 정책 대응이 더 긴밀히 요구될 수 있다. 더불어 유가 변동의 충격에서 보다 자유로운 경제 구조를 만들기 위해서는 해외 자원개발을 확대하여 원유 자주 확보율을 증가시키고 신재생에너지와 같은 청정에너지의 보급을 활성화하는 장기적인 에너지정책 역시 시급하다 볼 수 있다.
Abstract
This study aims to investigate the dynamic relationship between global crude oil prices and stock prices from the perspective of crude oil exporters and importers. The relationship between oil prices and stock prices is examined using an MS-VAR model for BRICS (Brazil, Russia, India, China, and South Africa) from October 1997 to October 2023. There is no Granger causality from oil prices to stock markets in the BRICS countries at either regimes. The results of the impulse response analysis show that the stock market response to oil price shocks is different across all countries in regimes respectively. In particular, the stock market response to unexpected oil price shocks is positive and statistically significant in the low mean and high volatility regime in all countries except China, suggesting that higher oil prices in these countries can be characterized as a demand-side shock. It suggests that structural changes in the oil market have increased the uncertainty of oil prices and amplified a number of macroeconomic shocks. Given the increased volatility and uncertainty caused by negative oil price shocks, there is an even greater need to specifically plan investment and production in detail based on forecasts during periods of uncertainty in oil prices. Next, since the expansion of volatility due to the rise in oil prices, as well as the expansion of volatility due to the plunge in oil prices in the financial crisis, are simultaneously and significantly manifested, the efficient and effective policy response of the government to the shock of oil price volatility may be more closely required.
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