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Research Paper (Special Issue)

A Study on Asymmetric Market Integration of the Crude Oil Markets: An Application of Hidden Cointegration

Hidden Cointegration을 적용한 국제원유시장의 비대칭적 단일화에 대한 연구

Gobong Choi1*
최 고봉1*
1Lecturer, Dept. of Energy & Resources Engineering, Korea Maritime & Ocean University
1한국해양대학교 에너지자원공학과
* Corresponding Author
31 August 2020. pp. 341-351
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Abstract

This study examines the asymmetric market integration of the international crude oil market by applying hidden cointegration. After decomposing the benchmark prices in the Middle East, North America, and Europe into increasing and decreasing components, cointegration tests were performed between the same components. A causality test among the components was also conducted after estimating the crouching error correction models. As a result of the analysis, the long-run equilibrium relationships among the increasing components of Dubai, WTI, and Brent prices were established. This revealed that the crude oil market tended to be integrated when there was an upward pressure on oil prices. It was found that there were bidirectional causal relationships among the increasing components. On the other hand, there were no long-run equilibrium relationships among the decreasing components. The findings of this study can be used as a basic information for the preparation of policies for coping with increasing and decreasing oil prices.

Keywords
Crude oil market
Market Integration
Regionalisation
Asymmetry
Hidden cointegration

본 연구는 hidden cointegration 개념을 적용하여 국제원유시장의 비대칭적 단일화에 대한 연구를 수행했다. 중동, 북미, 유럽의 벤치마크 원유 가격을 상승성분과 하락성분으로 분해한 뒤, 각 성분에 대해 공적분 검정을 수행하였으며, 오차수정모형을 추정하여 인과관계에 대한 분석을 수행했다. 분석 결과, Dubai, WTI, Brent 가격의 상승성분 사이에 장기균형관계가 성립하여, 국제원유시장은 유가 상승압력이 존재하는 상황에서 단일화 되는 경향을 보였다. 유가의 상승성분 사이에는 양방향의 인과관계가 존재하는 것으로 나타났다. 반면에 유가의 하락성분 간에는 장기균형관계가 성립하지 않아 지역화되는 경향을 보였다. 본 연구는 향후 유가 대응을 위한 기초연구로 활용될 수 있다.

키워드
원유시장
단일화
지역화
비대칭
Hidden cointegration
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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 :341-351
  • Received Date : 2020-07-08
  • Revised Date : 2020-08-05
  • Accepted Date : 2020-08-25
  • DOI :https://doi.org/10.32390/ksmer.2020.57.4.341
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