Korea Trade Review (무역학회지)

Korea Trade Research Association (한국무역학회)
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An Empirical Analysis on the Long-term Balance of Bunker Oil Prices Using the Co-integration Model and Vector Error Correction Model

공적분·벡터오차수정모형을 활용한 벙커유 가격의 장기균형 수렴에 관한 실증분석

  • Ahn, Young-Gyun (Maritime Industry Research Department, Korea Maritime Institute) ;
  • Lee, Min-Kyu (Graduate School of Management of Technology, Pukyong National University)
  • 안영균 (한국해양수산개발원) ;
  • 이민규 (부경대학교 기술경영전문대학원)
  • Received : 2019.01.14
  • Accepted : 2019.02.24
  • Published : 2019.02.28
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Abstract

This study performs a factor analysis that affects the bunker oil price using the Co-integration model and Vector Error Correction Model (VECM). For this purpose, we use data from Clarkson and the analysis results show 17.6% decrease in bunker oil price when the amount of crude oil production increases at 1.0%, 10.3% increase in bunker oil price when the seaborne trade volume increases at 1.0%, 1.0% decrease in bunker oil price when total volume of vessels increases at 1.0%, and 0.003% increase in bunker oil price when 1.0% increase in world GDP, respectively. This study is meaningful in that this study estimates the speed of convergence to long-term equilibrium and identifies the price adjust mechanism which naturally exists in bunker oil market. And it is expected that the future study can provide statistically more meaningful econometric results if it can obtain data during more long-periods and use more various kinds of explanatory variables.

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References

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