The Causal Relationship between Chinese Petroleum Import and International Crude Oil Prices

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2006 Vol.43, Issue 6 Preview Page Next Page

The Causal Relationship between Chinese Petroleum Import and International Crude Oil Prices 중국의 석유 수입과 국제원유가격 변동의 인과관계 분석: 김진수, 김연배, 허은녕
Jinsoo Kim, Yeonbae Kim and Eunnyeong Heo

31 December 2006. pp. 551-559

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Abstract

We assumed that it is not the petroleum inventory of U.S. or production volumn of OPEC but the Chinese petroleum import, which threats the balance between oil production and supply, that rapidly increases international crude oil spot prices since 2000. In this paper, we analyzed the causal relationship between Chinese petroleum import and crude oil prices to support that assumption. To analyze the causal relationship, we conduct Granger casuality test based on vector autoregressive model and vector error correction model. The results indicate that Granger casuality from Chinese petroleum import to crude oil prices exists. On the results, we discussed the causal relationship and regionalization of crude oil markets.

Keywords

Causality test

Chinese petroleum import

Crude oil prices

Regionalization

Vector error correction model

2000년부터 최근까지의 급격한 국제원유가격 상승의 주 원인이 중국과 인도의 급격한 경제성장에 의한 석유 수요의 급증이라는 주장이 제기되고 있다. 본 연구에서는 이러한 가설을 검정하기 위해 중국의 석유 수입과 국제원유가격 변동의 인과관계를 통계적으로 분석하였다. 인과관계를 분석하기 위하여 AIC값을 이용하여 최적 시차를 선정하고 벡터자기회귀모형과 벡터오차수정모형을 이용한 Granger 인과관계 검정 방법론을 사용하였다. 분석 결과 중국의 석유 수입이 국제원유가격 변동을 Granger 인과하는 것으로 분석되었다. 이러한 결과를 바탕으로 중국의 석유 수입과 국제원유가격 변동에 대한 인과관계와 국제원유시장의 지역화에 대하여 논의하였다.

키워드

인과관계 분석

중국의 석유 수입

국제원유가격

지역화

벡터오차수정모형

References

김철환, 1998, “한국의 에너지소비와 경제성장 사이의 인과관계: 오차수정모형,” 한국경제연구, 제1권, pp. 129-155.
모수원, 김창범, 2003, “에너지소비와 경제성장의 동태적 인과관계,” 자원 환경경제연구, 제12권 2호, pp. 327-346.
유승훈, 정군오, 2005, “ASEAN 국가에서의 전력소비와 경제성장에 관한 실증분석,” 한국지구시스템공학회지, 제42권 2호, pp. 121-131.
이석기, 2004, “중국의 석유 사정,” 국별동향 보고서, 한국석유공사, 안양.
정은지, 2006, “중국 국영석유회사의 해외진출,” 국별동향 보고서, 한국석유공사, 안양.
허은녕, 2005, “국제원유시장가격의 지역화 분석,” 한국경제학회 2005 경제학 공동 학술대회, 한국경제학회, 중앙대학교, 서울, 2월 24-25일, pp. 1-6.
Considine, T. J. and E. Heo, 2000, “Price and Inventory Dynamics in Petroleum Product Markets,” Energy Economics, Vol. 22, pp. 527-547.
Dickey, D. A. and W. A. Fuller, 1979, “Distribution of the Estimation for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, Vol. 74, No. 366, pp. 427-431.
Engle, R. F. and C. W. J. Granger, 1987, “Cointegration and Error Correction: representation, estimation and testing,” Econometrica, Vol. 55, No. 2, pp. 251-276.
Gulen, S. G., 1997, “Regionalization in the World Crude Oil Market,” The Energy Journal, Vol. 18, No. 2, pp. 109-126.
Ghouri, S.S., in press, “Assessment of the Relationship between Oil Prices and US Oil Stocks,” Energy Policy.
Granger, C.W.J., 1969, “Investigating Relations by Econometric Models and Cross-Spectral Methods,” Econometrica, Vol. 37, No. 3, pp. 424-438.
Granger, C.W.J., 1988, “Some Recent Developments in a Concept of Causality,” Journal of Econometrics, Vol. 39, pp. 199-211.
Granger, C.W.J. and P. Newbold, 1974, “Spurious Regressions in Econometrics,” Journal of Econometrics, Vol. 2, pp. 111-120.
Horn, M., 2004, “OPEC's Optimal Crude Oil Price,” Energy Policy, Vol. 32, pp. 269-280.
Hsiao, C., 1981, “Autoregressive Modelling and Money-Income Causality Detection,” Journal of Monetary Economics, Vol. 7, pp. 85-106.
International Energy Agency, 1986-2005, Oil Market Report, Available at Online, http://www.oilmarketreport.org/.
Johansen, S., 1991, “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models,” Econometrica, Vol. 59, No. 6, pp. 1551-1580.
Osterwald-Lenum, M., 1992, “Practitioners' Corner: A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics,” Oxford Bulletin of Economics and Statistics, Vol. 54, pp. 461-472.
Pantula, S.G., G. Gonzalez-Farias and W. A. Fuller, 1994, “A Comparison of Unit-Root and Cointegration Tests,” Journal of Business and Economic Statistics, Vol. 12, No. 4, pp. 449-459.
Phillips, P. C. B. and P. Perron, 1988, “Testing for a Unit Root Time Series Regression,” Biometrika, Vol. 75, No. 2, pp. 335-346.
Ramcharran, H., 2001, “OPEC's Production under Fluctuating Oil Prices: further test of the target revenue theory,” Energy Economics, Vol. 23, pp. 667-681.
Ramcharran, H., 2002, “Oil Production Responses to Price Changes: an empirical application of the competitive model to OPEC and non-OPEC countries,” Energy Economics, Vol. 24, pp. 97-106.
Said, S. E. and D. A. Dickey, 1984, “Testing for unit roots in autoregressive-moving average models of unknown order,” Biometrika, Vol. 71, pp. 599-607.
Said, S. E. and D. A. Dickey, 1985, “Hypothesis testing in ARIMA(p, 1, q) models,” Journal of the American Statistical Association, Vol. 80, pp. 369-374.
Spilimbergo, A., 2001, “Testing the Hypothesis of Collusive Behavior among OPEC members,” Energy Economics, Vol. 23, pp. 339-353.
Tang, L. and S. Hammoudeh, 2002, “An Empirical Exploration of the World Oil Price under the Target Zone Model,” Energy Economics, Vol. 24, pp. 577-596.
Oh, W. and K. Lee, 2004, “Causal Relationship between Energy Consumption and GDP Revisited: the Case of Korea 1970-1999,” Energy Economics, Vol. 26, pp. 51-59.
Yoo, S.-H., 2005, “Electricity Consumption and Economic Growth: evidence from Korea,” Energy Policy, Vol. 33, pp. 1627-1632.
Yousefi, A. and T. S. Wirjanto, 2004, “The Empirical Role of the Exchange Rate on the Crude-oil Price Formation,” Energy Economics, Vol. 26, pp. 783-799.
Zellner, A., 1988, “Causality and Causal Laws in Economics,” Journal of Econometrics, Vol. 39, pp. 7-21.
Zou, G. and K. W. Chau, in press, “Short- and Long-run Effects between Oil Consumption and Economic Growth in China,” Energy Policy.

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 : 43
No :6
Pages :551-559

[1] 김철환, 1998, “한국의 에너지소비와 경제성장 사이의 인과관계: 오차수정모형,” 한국경제연구, 제1권, pp. 129-155.

[2] 모수원, 김창범, 2003, “에너지소비와 경제성장의 동태적 인과관계,” 자원 환경경제연구, 제12권 2호, pp. 327-346.

[3] 유승훈, 정군오, 2005, “ASEAN 국가에서의 전력소비와 경제성장에 관한 실증분석,” 한국지구시스템공학회지, 제42권 2호, pp. 121-131.

[4] 이석기, 2004, “중국의 석유 사정,” 국별동향 보고서, 한국석유공사, 안양.

[5] 정은지, 2006, “중국 국영석유회사의 해외진출,” 국별동향 보고서, 한국석유공사, 안양.

[6] 허은녕, 2005, “국제원유시장가격의 지역화 분석,” 한국경제학회 2005 경제학 공동 학술대회, 한국경제학회, 중앙대학교, 서울, 2월 24-25일, pp. 1-6.

[7] Considine, T. J. and E. Heo, 2000, “Price and Inventory Dynamics in Petroleum Product Markets,” Energy Economics, Vol. 22, pp. 527-547.

[8] Dickey, D. A. and W. A. Fuller, 1979, “Distribution of the Estimation for Autoregressive Time Series with a Unit Root,” Journal of the American Statistical Association, Vol. 74, No. 366, pp. 427-431.

[9] Engle, R. F. and C. W. J. Granger, 1987, “Cointegration and Error Correction: representation, estimation and testing,” Econometrica, Vol. 55, No. 2, pp. 251-276.

[10] Gulen, S. G., 1997, “Regionalization in the World Crude Oil Market,” The Energy Journal, Vol. 18, No. 2, pp. 109-126.

[11] Ghouri, S.S., in press, “Assessment of the Relationship between Oil Prices and US Oil Stocks,” Energy Policy.

[12] Granger, C.W.J., 1969, “Investigating Relations by Econometric Models and Cross-Spectral Methods,” Econometrica, Vol. 37, No. 3, pp. 424-438.

[13] Granger, C.W.J., 1988, “Some Recent Developments in a Concept of Causality,” Journal of Econometrics, Vol. 39, pp. 199-211.

[14] Granger, C.W.J. and P. Newbold, 1974, “Spurious Regressions in Econometrics,” Journal of Econometrics, Vol. 2, pp. 111-120.

[15] Horn, M., 2004, “OPEC's Optimal Crude Oil Price,” Energy Policy, Vol. 32, pp. 269-280.

[16] Hsiao, C., 1981, “Autoregressive Modelling and Money-Income Causality Detection,” Journal of Monetary Economics, Vol. 7, pp. 85-106.

[17] International Energy Agency, 1986-2005, Oil Market Report, Available at Online, http://www.oilmarketreport.org/.

[18] Johansen, S., 1991, “Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models,” Econometrica, Vol. 59, No. 6, pp. 1551-1580.

[19] Osterwald-Lenum, M., 1992, “Practitioners' Corner: A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics,” Oxford Bulletin of Economics and Statistics, Vol. 54, pp. 461-472.

[20] Pantula, S.G., G. Gonzalez-Farias and W. A. Fuller, 1994, “A Comparison of Unit-Root and Cointegration Tests,” Journal of Business and Economic Statistics, Vol. 12, No. 4, pp. 449-459.

[21] Phillips, P. C. B. and P. Perron, 1988, “Testing for a Unit Root Time Series Regression,” Biometrika, Vol. 75, No. 2, pp. 335-346.

[22] Ramcharran, H., 2001, “OPEC's Production under Fluctuating Oil Prices: further test of the target revenue theory,” Energy Economics, Vol. 23, pp. 667-681.

[23] Ramcharran, H., 2002, “Oil Production Responses to Price Changes: an empirical application of the competitive model to OPEC and non-OPEC countries,” Energy Economics, Vol. 24, pp. 97-106.

[24] Said, S. E. and D. A. Dickey, 1984, “Testing for unit roots in autoregressive-moving average models of unknown order,” Biometrika, Vol. 71, pp. 599-607.

[25] Said, S. E. and D. A. Dickey, 1985, “Hypothesis testing in ARIMA(p, 1, q) models,” Journal of the American Statistical Association, Vol. 80, pp. 369-374.

[26] Spilimbergo, A., 2001, “Testing the Hypothesis of Collusive Behavior among OPEC members,” Energy Economics, Vol. 23, pp. 339-353.

[27] Tang, L. and S. Hammoudeh, 2002, “An Empirical Exploration of the World Oil Price under the Target Zone Model,” Energy Economics, Vol. 24, pp. 577-596.

[28] Oh, W. and K. Lee, 2004, “Causal Relationship between Energy Consumption and GDP Revisited: the Case of Korea 1970-1999,” Energy Economics, Vol. 26, pp. 51-59.

[29] Yoo, S.-H., 2005, “Electricity Consumption and Economic Growth: evidence from Korea,” Energy Policy, Vol. 33, pp. 1627-1632.

[30] Yousefi, A. and T. S. Wirjanto, 2004, “The Empirical Role of the Exchange Rate on the Crude-oil Price Formation,” Energy Economics, Vol. 26, pp. 783-799.

[31] Zellner, A., 1988, “Causality and Causal Laws in Economics,” Journal of Econometrics, Vol. 39, pp. 7-21.

[32] Zou, G. and K. W. Chau, in press, “Short- and Long-run Effects between Oil Consumption and Economic Growth in China,” Energy Policy.

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