The Causal Relationship among International Crude Oil and Metals Prices

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2010 Vol.47, Issue 4 Preview Page Next Page

The Causal Relationship among International Crude Oil and Metals Prices 국제원유가격과 금속자원가격 변동의 인과관계 분석: 김진수
Jinsoo Kim

31 August 2010. pp. 423-432

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Abstract

In this study, causal relationships among the prices of Brent crude oil and seven strategic metals are analyzed. As results, long-run equilibriums are observed among all relations except Brent and zinc in the period of rapid increases of oil price. More than one causal relationship exists between Brent and other metal prices and the causality from metal to Brent price is noticeable. These results support the excess co-movement hypothesis. In the light of energy and resources security, price movements and pricing mechanism of resources are important for policy decision. Therefore, the relations among energy and metal prices will be considered for the national program for overseas resources development with the results of this study.

Keywords

Resource price

International resource market

Causality analysis

Vector error correction model

본 연구에서는 전략적 가치가 높으면서도 대부분을 수입에 의존하고 있는 주요 자원인 원유와 일곱 가지 금속자원 가격 사이의 인과관계를 살펴보았다. 분석 결과 유가 급등 기의 Brent유와 아연 가격을 제외하고는 Brent유와 다른 모든 금속자원 가격 사이에 장기적인 균형관계가 관찰되었다. 또한 Brent유와 모든 금속자원 사이에 하나 이상의 인과관계가 존재하는 것으로 분석되었으며, 금속자원 가격에서 Brent 가격으로의 인과관계가 두드러졌다. 이러한 분석 결과는 기존의 과잉 공행성 가설(excess co-movement hypothesis)을 뒷받침하는 결과라고 볼 수 있다. 에너지･자원 안보 차원에서도 자원 가격 변화와 가격 결정에 영향을 미치는 요인에 대한 정보는 중요한 정책적 판단의 근거가 된다. 따라서 본 연구의 결과를 바탕으로 향후 해외자원개발 전략 수립 시 에너지와 금속자원의 관계를 고려해야 할 것이다.

키워드

자원가격

국제자원시장

인과관계 분석

벡터오차수정모형

References

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김윤경, 김대형, 김현태, 이철규, 허은녕, 조영아, 2008, “에너지안보를 위한 해외자원개발기업 지원기관 구축 방안 연구,”한국지구시스템공학회지, 45(2), pp. 112-121.
김진수, 허은녕, 김연배, 2007, “공적분과 인과관계 분석을 통한 국제원유시장 지역화 연구,”자원･환경경제연구, 16(2), pp. 213-237.
오선아, 허은녕, 2005, “국제원유가격변동에 따른 석유제품소비자가격의 비대칭성에 관한 국제비교,”한국지구시스템공학회지, 42(3), pp. 225-232.
오선아, 허은녕, 2007, “국제시장가격변동에 따른 국내석유제품가격의 비대칭분석,”에너지경제연구, 6(1), pp. 59-78.
이슬기, 2010, 가격비대칭성 검정 모형 체계화 연구, 석사학위 논문, 서울대학교, 서울.
Adelman, M.A., 1984, “nternational Oil Agreements,”The Energy Journal, 5(3), pp. 1-9.
Akaike, H., 1974, “ New Look at the Statistical Model Identification,”IEEE Transactions on Automatic Control, AC-19(6), pp. 716-723.
Bachmeier, L.J. and Griffin, J.M., 2003, “ew Evidence on Asymmetric Gasoline Price Responses,”The Review of Economic and Statistics, 85(3), pp. 772-776.
Bacon, R.W., 1991, “ockets and Feathers: The Asymmetric Speed of Adjustment of Uk Retail Gasoline Prices to Cost Changes,”Energy Economics, 13(3), pp. 211-218.
Borenstein, S., Cameron, A.C., Gilbert, R., 1997, “o Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?,” The Quarterly Journal of Economics, 112(1), pp. 305-339.
Cooper, R.N., Lawrence, R.Z., Bosworth, B. and Houthakker, H.S., 1975, “he 1972-75 Commodity Boom,”Brookings Papers on Economic Activity, 1975(3), pp. 671-723.
Deb, P., Trivedi, P.K. and Varangis, P., 1996, “he Excess Co-Movement of Commodity Prices Reconsidered,” Journal of Applied Econometrics, 11(3), pp. 275-291.
Elliott, G., Rothenberg, T.J. and Stock, J.H., 1996, “fficient Tests for an Autoregressive Unit Root,”Econometrica, 64(4), pp. 813-836.
Engle, R.F. and Granger, C.W.J., 1987, “o-Integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, 55(2), pp. 251-276.
Gilbert, C.L., 1986, “esting the Efficient Markets Hypothesis on Averaged Data,”Applied Economics, 18(11), pp. 1149-1166.
Gilbert, C.L., 2010, Speculative Influences on Commodity Futures Prices 2006-2008. United Nations, Geneva.
Goss, B.A., 1981, “he Forward Pricing Function of the London Metal Exchange,”Applied Economics, 13, pp. 133-150.
Granger, C.W.J., 1969, “nvestigating Causal Relations by Econometric Models and Cross-Spectral Methods,”Econometrica, 37(3), pp. 424-438.
Grasso, M. and Manera, M., 2007, “symmetric Error Correction Models for the Oil-Gasoline Price Relationship,” Energy Policy, 35(1), pp. 156-177.
Gülen, S.G., 1999, “egionalization in the World Crude Oil Market: Further Evidence,”The Energy Journal, 20(1), pp. 125-139.
Johansen, S., 1995, Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford University Press, Oxford.
Jones, J.D. and Uri, N.D., 1990, “arket Efficiency, Spot Metals Prices and Cointegration : Evidence for the USA, 1964-1987,”Resources Policy, 16(4), pp. 261-268.
Karrenbrock, J.D., 1991, “he Behavior of Retail Gasoline Prices: Symmetric or Not?,”Federal Reserve Bank of St.Louis Review, 73(4), pp. 19-29.
Kim, J., Heo, E. and Kim, T.-Y., 2008, “o the World Crude Oil Markets Really Move Together?,” 31st IAEE International Conference, Istanbul, Turkey, 2008.6.18-20.
Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., 1992, “esting the Null Hypothesis of Stationarity against the Alternative of a Unit Root : How Sure Are We That Economic Time Series Have a Unit Root?,” Journal of Econometrics, 54(1-3), pp. 159-178.
MacDonald, R. and Taylor, M., 1988, “etals Prices, Efficiency and Cointegration: Some Evidence from the London Metal Exchange,”Bulletin of Economic Research, 40(3), pp. 235-240.
Phillips, P.C.B. and Perron, P., 1988, “esting for a Unit Root in Time Series Regression,”Biometrika, 75(2), pp. 335-346.
Pindyck, R.S. and Rotemberg, J.J., 1990, “he Excess Co-Movement of Commodity Prices,”The Economic Journal, 100(403), pp. 1173-1189.
Radchenko, S., 2005, “ags in the Response of Gasoline Prices to Changes in Crude Oil Prices: The Role of Short-Term and Long-Term Shocks,”Energy Economics, 27(4), pp. 573-602.
Said, S.E. and Dickey, D.A., 1984, “esting for Unit Roots in Autoregressive-Moving Average Models of Unknown Order,” Biometrika, 71(3), pp. 599-607.
Schwarz, G., 1978, “stimating the Dimension of a Model,” The Annals of Statistics, 6(2), pp. 461-464.
Sephton, P.S. and Cochrane, D.K., 1991, “he Efficiency of the London Metal Exchange: Another Look at the Evidence,”Applied Economics, 23(4), pp. 669-674.
Sornette, D., Woodard, R. and Zhou, W.-X., 2009, “he 2006-2008 Oil Bubble: Evidence of Speculation, and Prediction,”Physica A: Statistical Mechanics and its Applications, 388(8), pp. 1571-1576.
Weiner, R.J., 1991, “s the World Oil Market ‘ne Great Pool’,”The Energy Journal, 12(3), pp. 95-107.
Zellner, A., 1988, “ausality and Causal Laws in Economics,” Journal of Econometrics, 39, pp. 7-21.
Zhang, X., Keung Lai, K. and Wang, S., 2009, “id Speculative Activities Contribute to High Crude Oil Prices During 1993 to 2008?,”Journal of Systems Science and Complexity, 22(4), pp. 636-646.

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 :4
Pages :423-432

[1] 김대형, 김지환, 이현복, 2008, “｢제3차 해외자원개발 기본 계획｣의 주요 내용,”한국지구시스템공학회지, 45(2), pp. 140-145.

[2] 김윤경, 김대형, 김현태, 이철규, 허은녕, 조영아, 2008, “에너지안보를 위한 해외자원개발기업 지원기관 구축 방안 연구,”한국지구시스템공학회지, 45(2), pp. 112-121.

[3] 김진수, 허은녕, 김연배, 2007, “공적분과 인과관계 분석을 통한 국제원유시장 지역화 연구,”자원･환경경제연구, 16(2), pp. 213-237.

[4] 오선아, 허은녕, 2005, “국제원유가격변동에 따른 석유제품소비자가격의 비대칭성에 관한 국제비교,”한국지구시스템공학회지, 42(3), pp. 225-232.

[5] 오선아, 허은녕, 2007, “국제시장가격변동에 따른 국내석유제품가격의 비대칭분석,”에너지경제연구, 6(1), pp. 59-78.

[6] 이슬기, 2010, 가격비대칭성 검정 모형 체계화 연구, 석사학위 논문, 서울대학교, 서울.

[7] Adelman, M.A., 1984, “nternational Oil Agreements,”The Energy Journal, 5(3), pp. 1-9.

[8] Akaike, H., 1974, “ New Look at the Statistical Model Identification,”IEEE Transactions on Automatic Control, AC-19(6), pp. 716-723.

[9] Bachmeier, L.J. and Griffin, J.M., 2003, “ew Evidence on Asymmetric Gasoline Price Responses,”The Review of Economic and Statistics, 85(3), pp. 772-776.

[10] Bacon, R.W., 1991, “ockets and Feathers: The Asymmetric Speed of Adjustment of Uk Retail Gasoline Prices to Cost Changes,”Energy Economics, 13(3), pp. 211-218.

[11] Borenstein, S., Cameron, A.C., Gilbert, R., 1997, “o Gasoline Prices Respond Asymmetrically to Crude Oil Price Changes?,” The Quarterly Journal of Economics, 112(1), pp. 305-339.

[12] Cooper, R.N., Lawrence, R.Z., Bosworth, B. and Houthakker, H.S., 1975, “he 1972-75 Commodity Boom,”Brookings Papers on Economic Activity, 1975(3), pp. 671-723.

[13] Deb, P., Trivedi, P.K. and Varangis, P., 1996, “he Excess Co-Movement of Commodity Prices Reconsidered,” Journal of Applied Econometrics, 11(3), pp. 275-291.

[14] Elliott, G., Rothenberg, T.J. and Stock, J.H., 1996, “fficient Tests for an Autoregressive Unit Root,”Econometrica, 64(4), pp. 813-836.

[15] Engle, R.F. and Granger, C.W.J., 1987, “o-Integration and Error Correction: Representation, Estimation, and Testing,” Econometrica, 55(2), pp. 251-276.

[16] Gilbert, C.L., 1986, “esting the Efficient Markets Hypothesis on Averaged Data,”Applied Economics, 18(11), pp. 1149-1166.

[17] Gilbert, C.L., 2010, Speculative Influences on Commodity Futures Prices 2006-2008. United Nations, Geneva.

[18] Goss, B.A., 1981, “he Forward Pricing Function of the London Metal Exchange,”Applied Economics, 13, pp. 133-150.

[19] Granger, C.W.J., 1969, “nvestigating Causal Relations by Econometric Models and Cross-Spectral Methods,”Econometrica, 37(3), pp. 424-438.

[20] Grasso, M. and Manera, M., 2007, “symmetric Error Correction Models for the Oil-Gasoline Price Relationship,” Energy Policy, 35(1), pp. 156-177.

[21] Gülen, S.G., 1999, “egionalization in the World Crude Oil Market: Further Evidence,”The Energy Journal, 20(1), pp. 125-139.

[22] Johansen, S., 1995, Likelihood-Based Inference in Cointegrated Vector Autoregressive Models. Oxford University Press, Oxford.

[23] Jones, J.D. and Uri, N.D., 1990, “arket Efficiency, Spot Metals Prices and Cointegration : Evidence for the USA, 1964-1987,”Resources Policy, 16(4), pp. 261-268.

[24] Karrenbrock, J.D., 1991, “he Behavior of Retail Gasoline Prices: Symmetric or Not?,”Federal Reserve Bank of St.Louis Review, 73(4), pp. 19-29.

[25] Kim, J., Heo, E. and Kim, T.-Y., 2008, “o the World Crude Oil Markets Really Move Together?,” 31st IAEE International Conference, Istanbul, Turkey, 2008.6.18-20.

[26] Kwiatkowski, D., Phillips, P.C.B., Schmidt, P. and Shin, Y., 1992, “esting the Null Hypothesis of Stationarity against the Alternative of a Unit Root : How Sure Are We That Economic Time Series Have a Unit Root?,” Journal of Econometrics, 54(1-3), pp. 159-178.

[27] MacDonald, R. and Taylor, M., 1988, “etals Prices, Efficiency and Cointegration: Some Evidence from the London Metal Exchange,”Bulletin of Economic Research, 40(3), pp. 235-240.

[28] Phillips, P.C.B. and Perron, P., 1988, “esting for a Unit Root in Time Series Regression,”Biometrika, 75(2), pp. 335-346.

[29] Pindyck, R.S. and Rotemberg, J.J., 1990, “he Excess Co-Movement of Commodity Prices,”The Economic Journal, 100(403), pp. 1173-1189.

[30] Radchenko, S., 2005, “ags in the Response of Gasoline Prices to Changes in Crude Oil Prices: The Role of Short-Term and Long-Term Shocks,”Energy Economics, 27(4), pp. 573-602.

[31] Said, S.E. and Dickey, D.A., 1984, “esting for Unit Roots in Autoregressive-Moving Average Models of Unknown Order,” Biometrika, 71(3), pp. 599-607.

[32] Schwarz, G., 1978, “stimating the Dimension of a Model,” The Annals of Statistics, 6(2), pp. 461-464.

[33] Sephton, P.S. and Cochrane, D.K., 1991, “he Efficiency of the London Metal Exchange: Another Look at the Evidence,”Applied Economics, 23(4), pp. 669-674.

[34] Sornette, D., Woodard, R. and Zhou, W.-X., 2009, “he 2006-2008 Oil Bubble: Evidence of Speculation, and Prediction,”Physica A: Statistical Mechanics and its Applications, 388(8), pp. 1571-1576.

[35] Weiner, R.J., 1991, “s the World Oil Market ‘ne Great Pool’,”The Energy Journal, 12(3), pp. 95-107.

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

[37] Zhang, X., Keung Lai, K. and Wang, S., 2009, “id Speculative Activities Contribute to High Crude Oil Prices During 1993 to 2008?,”Journal of Systems Science and Complexity, 22(4), pp. 636-646.

Journal of the Korean Society of Mineral and Energy Resources Engineers ISSN:2288-0291(Print) 2288-2790(Online) 한국자원공학회지

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