자원시장 슈퍼사이클 분석과 특징

• 영문명: Super-cycles of commodity prices: characteristics and implications
• 발행기관: 한국농업경제학회
• 저자명: 강영호(Youngho Kang) 박환일(Hwanil Park)
• 간행물 정보: 『농업경제연구』55권 1호, 49~72쪽, 전체 24쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2014.03.30

영문 초록

The purpose of this study is to analyze the super-cycles of commodity prices and compare the main characteristics of the current super-cycles with the previous ones. We applied the asymmetric band pass filter suggested by Christiano and Fitzerald to extract the super-cycles of the World Bank commodity index and 9 commodity prices including crude oil, coal, natural gas, cop-per, zinc, aluminum, corn, wheat and soybean. The data runs from Jan. 1960 to Aug. 2012. This study suggested that the uptrend of current super-cycles of most commodities either have ended or will end soon. The uptrend of the current super-cycles exhibits three main characteristics. First, the price volatility of all commodities has increased. Second, the comovement of oil and other commodities have strengthened. Third, oil price has been found to cause other commodities’price. For the governments and industry related to commodity development and utilization, the results have two implications. First, it is necessary to understand long term trend of the commodity prices as well as the short term movement and volatility. Second, the end of the uptrend of supe r-cycle opens the door to expand investment in resource exploration and development and related technology. Investing to secure resources when prices are rising is a high-cost, low-profit business. The right time to invest is w hen prices are in recession.

목차

Ⅰ. 서 론

Ⅱ. 분석방법 및 결과

Ⅲ. 3차 슈퍼사이클 상승국면의 3가지 특징

Ⅳ. 결론 및 정책적 시사점

키워드

Worldbank commodity index Band pass filter Supe-cycle Volatility Comovement Granger causality