VECM모형을 이용한 중국 중유 선물가격의 변동원인 분석

• 영문명: An Analysis of the Causes of Fluctuations in the Futures Price of Fuel Oil in China Using the VECM Model
• 발행기관: 한국무역연구원
• 저자명: 마예(Rui Ma) 이은화(Yin-Hua Li)
• 간행물 정보: 『무역연구』제17권 제2호, 209~224쪽, 전체 16쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2021.04.30

영문 초록

Purpose - This paper analyze the causes of fluctuations in the futures price of fuel oil in China by dividing them into domestic and foreign factors. In particular, this study aims to compare and analyze the impact level of the world’s three major crude oil futures markets on China’s fuel oil futures market. Design/Methodology/Approach - This paper first identifies the long-term equilibrium relationship between Chinese fuel oil futures price and each influencing factor through Johansen’s cointegration test. It then analyzes the short-term relationship through the impulse response function and variance decomposition of prediction errors by setting up a VECM (Vector Error Correction Model) model. The variables used were China’s fuel oil futures price, crude oil imports, crude oil production, light oil production, WTI (West Texas Intermediate) crude oil futures price, Brent crude oil futures price and Dubai crude oil futures price. Data consisted of monthly statistical data from January 2006 to December 2019. Findings - Based on cointegration test resuts, it was found that there is a long-term equilibrium relationship among the variables. As a result of variance decomposition analysis of the impact response function and prediction error, it was found that the light oil production in domestic factor has the greatest effect on China’s fuel oil futures price. In terms of foreign factors, Dubai crude oil futures price has the greatest effect on China’s fuel oil futures price. Research Implications - China is seeking a stable import of energy resources through the systematization of the oil futures market, and furthermore, there seems to be an intention to enhance China’s influence in the international oil market. Like China, Korea mainly imports and consumes Middle Eastern crude oil, so these results will have certain implications for Korea.

목차

Ⅰ. 서론

Ⅱ. 중국의 석유시장 현황

Ⅲ. 선행연구 검토

Ⅳ. 실증분석

Ⅴ. 결론

키워드

Causes of Fluctuations Cointegration Test Equilibrium Relationship Fuel Oil Futures Price VECM (Vector Error Correction Model)