Environmental and Resource Economics Review (자원ㆍ환경경제연구)

Korean Resource Economics Association (한국자원경제학회)
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Effects of OPEC Announcements in Different Periods of Oil Price Fluctuation

사건연구 방법론을 이용한 OPEC 생산량 발표의 원유시장 영향 분석

  • Bae, Jee Young (Technology Management, Economics and Policy Program, Seoul National University) ;
  • Heo, Eunnyeong (Department of Energy Systems Engineering, Seoul National University)
  • 배지영 (서울대학교 기술경영경제정책 대학원) ;
  • 허은녕 (서울대학교 에너지시스템공학부)
  • Received : 2017.07.30
  • Accepted : 2017.09.13
  • Published : 2017.09.30
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Abstract

An OPEC production announcement is a major source of supply disruption that has a significant impact on the international crude oil market. In this study, the effects of OPEC's announcements are analyzed using event study methodology. Considering the oil price volatility and structural changes in the oil price, we divide the entire period into three periods and analyze the impact of OPEC's production quota announcements, including 'cut', 'hike', and 'maintain'. As a result of the analysis, we observe that the degree and direction of abnormal returns differ according to the announcements in each period. In addition, by subdividing oil price surge and plunge period into two sections, we analyze the effect of OPEC's 'maintain' announcements. During the oil price plunge period, the amount of abnormal returns was significant. This study provides policy implications for oil trading strategies and for the impact of OPEC announcements during periods of oil price fluctuation.

OPEC의 생산량 발표는 원유 가격에 중대한 영향을 미치는 공급교란 요인이다. 본 연구에서는 OPEC 발표가 원유 시장에 미치는 영향을 사건연구 방법론을 이용하여 분석하였다. 특히 유가 변동 및 구조변화 시기를 고려하여 유가 기간을 3개 구간으로 구분하고, OPEC의 감산, 증산, 유지 발표가 WTI 원유 수익률에 미치는 영향을 분석하였다. 분석 결과, 각 기간별로 OPEC 발표에 따른 비정상 수익 발생의 정도와 방향이 다름을 확인하였다. 또한 유가 급등기와 급락기를 구분하여 OPEC의 생산량 유지 발표의 영향을 분석한 결과, 유가 급락 조정 기간에 유지 발표에 따른 현저한 양(+)의 비정상 수익이 유의하게 발생하였다. 본 연구는 유가 변동 시기별 OPEC 발표의 영향 및 원유거래 전략에 대한 정책적 시사점을 제공한다.

Keywords

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