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2020 Vol.57, Issue 4 Preview Page

Research Paper (Special Issue)

SVAR Analysis of Factors Affecting Fluctuations of Six Major Nonferrous Metal Prices

6대 주요 비철금속의 국제시장가격 변동요인 구조벡터회귀분석

Hye Won Choi1
,
Eunnyeong Heo2
,
Kyungah Kim1*
최 혜원1
,
허 은녕2
,
김 경아1*
1Master's Degree, Technology Management, Economics and Policy Program, Seoul National University
2Professor, Department of Energy Systems Engineering, Seoul National University
1서울대학교 기술경영경제정책과정 석사과정
2서울대학교 에너지시스템공학부 교수
* Corresponding Author
31 August 2020. pp. 352-361
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Abstract

This study uses the structural vector autoregression (SVAR) model to examine the dynamic effects of global supply and demand shocks on commodity prices. For this, annual data from 1945 to 2019 of the global GDP, world production, and real prices of six nonferrous metals (copper, aluminum, lead, zinc, nickel, and tin) were used. The nonferrous metals exhibited different responses to supply, demand, and commodity-specific demand shocks. However, in both the impulse response function and historical decomposition analysis, the prices of all metals were mainly driven by demand shocks rather than supply shocks.

Keywords
Nonferrous metal
Mineral Commodity Markets
Structural VAR
Historical decomposition

본 연구에서는 원자재 수급의 변동이 국제 원자재 가격 상승에 미치는 영향을 구조적 벡터자기회귀 모형을 이용하여 정량적으로 분석하였다. 실증분석을 위하여 1945년부터 2019년까지 구리, 알루미늄, 납, 아연, 니켈, 주석 등 LME 시장이 지정한 6대 비철금속의 세계 생산량 및 가격, 세계 GDP 자료를 활용하였다. 실증분석 결과에 따르면, 수요, 공급, 상품별 수요 충격이 가격에 미친 영향은 비철금속의 종류에 따라 상이한 것으로 나타났다. 그러나 충격반응분석과 역사적요인분해 분석 결과 6개 비철금속 가격 모두 공급 충격보다 수요 충격에 의해 더 큰 영향을 받은 것으로 나타났다.

키워드
비철금속
광물 자원 시장
구조적 VAR
역사적 분해
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Information
  • Publisher :The Korean Society of Mineral and Energy Resources Engineers
  • Publisher(Ko) :한국자원공학회
  • Journal Title :Journal of the Korean Society of Mineral and Energy Resources Engineers
  • Journal Title(Ko) :한국자원공학회지
  • Volume : 57
  • No :4
  • Pages :352-361
  • Received Date : 2020-07-15
  • Revised Date : 2020-08-13
  • Accepted Date : 2020-08-25
  • DOI :https://doi.org/10.32390/ksmer.2020.57.4.352
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