Assessment of Oil Stocks Based on the Quantification of Oil Supply Disruptions

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2010 Vol.47, Issue 5 Preview Page Next Page

Assessment of Oil Stocks Based on the Quantification of Oil Supply Disruptions 석유 공급 교란을 통한 석유 비축 수준 평가: 안은영, 이기훈
Eun-Young Ahn and Kihoon Lee

31 October 2010. pp. 705-722

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Abstract

This study was aimed at quantifying oil supply disruptions and setting a model to assess the world, OECD and domestic oil storage levels in respect of supply shortage. By collecting the monthly gross oil disruption cases during 1951:01-2008:05 as a percentage of world oil consumption, the expectation of annual oil disruptions was 290 Mbbl, 166 Mbbl and 7.36 Mbbl for the world, OECD countries, and Korea, respectively. The data showed that international societies and Korea had excessive oil stockholdings in comparison with the expectation of their annual oil disruptions. The expenditures of the excessive oil inventories were analyzed according to their risk premiums, due to volatility of the global oil supply disruptions. By comparing Arrow-Platt absolute risk aversion (ARA) coefficients, these excessive oil stockholdings were judged to be appropriate and were caused by the high velocity of disruption.

Keywords

International Oil Supply Disruptions

Oil Storage Assessment

Risk Aversion Investment

본 연구는 기존에 정량적으로 분석되지 않았던 석유공급 불안정성에 대한 연구를 통해 현재 국제사회와 OECD 가입국 및 우리나라의 석유비축수준을 석유공급교란의 관점에서 평가하는 모형을 제시하고자 하였다. 1951년 1월～2008년 5월 기간의 국제사회 석유공급교란 사례 수집으로 산정한 국제석유공급교란 평균은 연간 290백만배럴이며, OECD 가입국 전체의 수요량 대비 평균 교란 규모는 연간 166백만배럴, 우리나라 수요량 대비 석유수입교란의 평균은 연간 7.36백만배럴로, 2007년 현재 우리나라와 국제사회는 평균 교란량 이상으로 석유비축(운영재고 제외)을 행하고 있는 것을 알 수 있었다. 이 결과에 대해 애로우-플랫 절대위험회피계수(ARA)와 확실성 등가의 개념 적용으로 석유비축수준에 대한 평가모형을 제시하여, 현재 국제사회와 우리나라가 석유공급교란의 변동위험에 대해 위험회피투자를 행하는 것으로 해석하였다. 현재 국제사회는 석유재고량을 기대석유교란량을 초과하여 보유하고 있으나 석유공급교란의 높은 불확실성(분산)으로 그 근거를 찾을 수 있다.

키워드

국제석유공급교란

석유비축 수준 평가

위험회피투자

References

강민우, 2009, “한국 자본시장의 주식프리미엄과 위험회피 계수 추정,” 응용경제, 제10권, 제3호, pp. 33-49.
강재성, 1996, 비상시 석유수급 안정화 방안 연구, 에너지경제연구원, p.132.
김인수, 홍정훈, 2008, “우리나라 주식시장에서의 주식프리미엄 퍼즐에 관한 연구,” 재무연구, 제21권, 제1호, pp. 1-32.
공공투자관리센터, 2008, 2008년도 예비타당성조사 보고서 BcN 인프라 구축사업 요약문, 한국개발연구원 공공투자관리센터, p. 61.
도현재, 2003, 21세기 에너지안보의 재조명 및 강화방안, 에너지경제연구원, p. 202.
박창원, 이영구, 2002, 석유비축의 Risk Premium 산정과 적정수준 검토, 한국에너지경제연구원, p. 157.
성주호, 2007, 퇴직연금 손·익 위험 관리전략에 관한 연구-평균-분산 최적화 접근법-, 보험개발원 보험연구소, p. 126.
소진영, 박천건, 2006, 석유공급교란의 분포 및 변화 추이분석과 정책적 시사점: Monte Carlo Simulation 방법, 에너지경제연구원, p. 122.
Bodie Z, Kane A. and Marcus A. J, 남상구, 이영기, 최승두, 2005, 기본투자론, Investments, 6th ed. McGraw Hill, 번역서, 도서출판 석정, p. 810.
Energy Information Administration (EIA), 2001, Global Supply Disruption since 1951, Department of Energy(DoE), USA, p. 78.
Energy Information Administration (EIA), 2008, Country Analysis Briefs, A Past Monthly Energy Chronologies (Updated: July 2008), Department of Energy (DoE), USA, http://www.eia.doe.gov/emeu/cabs/MEC_Past/index.html.
Energy Information Administration (EIA), 2008, Country Analysis Briefs, Annual Oil Market Chronology (Updated: July 2008), Department of Energy (DoE), USA, http://www.eia.doe.gov/emeu/cabs/AOMC/Overview.html. Energy Information Administration (EIA), 2008, Country Analysis Briefs, Current Monthly Energy Chronology (Updated: July 2008), Department of Energy (DoE), USA, http://www.eia.doe.gov/emeu/cabs/MEC_Current/Full.html.
Energy Information Administration (EIA), 2008, International Energy Outlook, Department of Energy(DoE), http://www.eia.doe.gov/oiaf/ieo/.Horsnell, P., 2000, The Probability of Oil Market Disruption: With an Emphasis on the Middle East, James A. Baker III Institute for Public Policy.
Huntington, H., Weyant J., Kann A. and Beccue P., 1997, Quantifying Oil Disruption Risks Through. Expert Judgment, Energy Modeling Forum Special Report 7, Stanford University.
International Energy Agency (IEA), 2007, World Energy Outlook, OECD.
Jaffe A.M., and Soligom R., 2002, “The role of inventories in oil market stability,” The Quarterly Review of Economics and Finance, Vol. 42 Issue 2, pp. 401-415.
Krapels, E.N., 1980, Oil Crisis Management: Strategic Stockpiling for International Security, Johns Hopkins University Press, Baltimore.
Leiby P.N, Jones D.W., Curlee T.R., and Lee R., 1997, Oil Imports: An assessment of Benefits and Costs, Oak Ridge National Laboratory, p. 93.
Leiby, P.N., 2003, “Improving Energy Security Through an International Cooperative Approach to Strategic Oil. Stock,s” Presented at the International Energy Agency Seminar on Oil Stocks, p. 35.
Milgrom P. and Roberts J., 1992, Economics, Organization and Management, Prentice Hall, Inc., New Jersey, p. 211.
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Wright B.D. and Williams J.C., 1982, “The roles of public and private storage in managing oil import disruptions,” The Bell Journal of Economics, Vol. 13, No. 2, pp. 341-353.

Information

Publisher :The Korean Society of Mineral and Energy Resources Engineers
Publisher(Ko) :한국자원공학회
Journal Title :Journal of the Korean Society for Geosystem Engineering
Journal Title(Ko) :한국지구시스템공학회지
Volume : 47
No :5
Pages :705-722

[1] 강민우, 2009, “한국 자본시장의 주식프리미엄과 위험회피 계수 추정,” 응용경제, 제10권, 제3호, pp. 33-49.

[2] 강재성, 1996, 비상시 석유수급 안정화 방안 연구, 에너지경제연구원, p.132.

[3] 김인수, 홍정훈, 2008, “우리나라 주식시장에서의 주식프리미엄 퍼즐에 관한 연구,” 재무연구, 제21권, 제1호, pp. 1-32.

[4] 공공투자관리센터, 2008, 2008년도 예비타당성조사 보고서 BcN 인프라 구축사업 요약문, 한국개발연구원 공공투자관리센터, p. 61.

[5] 도현재, 2003, 21세기 에너지안보의 재조명 및 강화방안, 에너지경제연구원, p. 202.

[6] 박창원, 이영구, 2002, 석유비축의 Risk Premium 산정과 적정수준 검토, 한국에너지경제연구원, p. 157.

[7] 성주호, 2007, 퇴직연금 손·익 위험 관리전략에 관한 연구-평균-분산 최적화 접근법-, 보험개발원 보험연구소, p. 126.

[8] 소진영, 박천건, 2006, 석유공급교란의 분포 및 변화 추이분석과 정책적 시사점: Monte Carlo Simulation 방법, 에너지경제연구원, p. 122.

[9] Bodie Z, Kane A. and Marcus A. J, 남상구, 이영기, 최승두, 2005, 기본투자론, Investments, 6th ed. McGraw Hill, 번역서, 도서출판 석정, p. 810.

[10] Energy Information Administration (EIA), 2001, Global Supply Disruption since 1951, Department of Energy(DoE), USA, p. 78.

[11] Energy Information Administration (EIA), 2008, Country Analysis Briefs, A Past Monthly Energy Chronologies (Updated: July 2008), Department of Energy (DoE), USA, http://www.eia.doe.gov/emeu/cabs/MEC_Past/index.html.

[12] Energy Information Administration (EIA), 2008, Country Analysis Briefs, Annual Oil Market Chronology (Updated: July 2008), Department of Energy (DoE), USA, http://www.eia.doe.gov/emeu/cabs/AOMC/Overview.html. Energy Information Administration (EIA), 2008, Country Analysis Briefs, Current Monthly Energy Chronology (Updated: July 2008), Department of Energy (DoE), USA, http://www.eia.doe.gov/emeu/cabs/MEC_Current/Full.html.

[13] Energy Information Administration (EIA), 2008, International Energy Outlook, Department of Energy(DoE), http://www.eia.doe.gov/oiaf/ieo/.Horsnell, P., 2000, The Probability of Oil Market Disruption: With an Emphasis on the Middle East, James A. Baker III Institute for Public Policy.

[14] Huntington, H., Weyant J., Kann A. and Beccue P., 1997, Quantifying Oil Disruption Risks Through. Expert Judgment, Energy Modeling Forum Special Report 7, Stanford University.

[15] International Energy Agency (IEA), 2007, World Energy Outlook, OECD.

[16] Jaffe A.M., and Soligom R., 2002, “The role of inventories in oil market stability,” The Quarterly Review of Economics and Finance, Vol. 42 Issue 2, pp. 401-415.

[17] Krapels, E.N., 1980, Oil Crisis Management: Strategic Stockpiling for International Security, Johns Hopkins University Press, Baltimore.

[18] Leiby P.N, Jones D.W., Curlee T.R., and Lee R., 1997, Oil Imports: An assessment of Benefits and Costs, Oak Ridge National Laboratory, p. 93.

[19] Leiby, P.N., 2003, “Improving Energy Security Through an International Cooperative Approach to Strategic Oil. Stock,s” Presented at the International Energy Agency Seminar on Oil Stocks, p. 35.

[20] Milgrom P. and Roberts J., 1992, Economics, Organization and Management, Prentice Hall, Inc., New Jersey, p. 211.

[21] U.S. Department of Energy/Interagency Working Group, 1990, Strategic Petroleum Reserve Analysis of Size Options, U.S. Department of Energy/Interagency Working Group, DOE/IE-0016.

[22] Wright B.D. and Williams J.C., 1982, “The roles of public and private storage in managing oil import disruptions,” The Bell Journal of Economics, Vol. 13, No. 2, pp. 341-353.

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