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http://dx.doi.org/10.15266/KEREA.2015.24.4.679

Estimation of Korean LNG Price Allowing a Structural Change  

Cho, Hong Chong (Department of Economics, Dankook University)
Han, Wonhee (Center for Gas Economics & Management, KOGAS)
Publication Information
Environmental and Resource Economics Review / v.24, no.4, 2015 , pp. 679-708 More about this Journal
Abstract
Almost all of natural gas demand in Korea is currently met by overseas LNG imports. More than 80% of LNG is imported through the mid to long-term contracts with oil-linked pricing. Despite LNG price estimation provides valuable information with various interested parties, an empirical study as well as an econometric model on LNG price hasn't yet been available in Korea. This paper therefore, aims at analyzing not only whether the long-run equilibrium relationship between oil prices and Korean LNG prices exists but also whether structural change occurred in such relationship. Further, it aims at building a conditional VECM taking account of a structural change. According to the final model, an oil price shock is passed through to the LNG prices in nonlinear and different manner from the past.
Keywords
LNG Price; Cointegration; Structural Change; Conditional VECM;
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Times Cited By KSCI : 3  (Citation Analysis)
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