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http://dx.doi.org/10.38121/kpea.2022.12.38.4.87

Analysis of connectedness Between Energy Price, Tanker Freight Index, and Uncertainty  

Kim, BuKwon (부산대학교 경제학과)
Yoon, Seong-Min (부산대학교 경제학부)
Publication Information
Journal of Korea Port Economic Association / v.38, no.4, 2022 , pp. 87-106 More about this Journal
Abstract
Uncertainties in the energy market are increasing due to technology developments (shale revolution), trade wars, COVID-19, and the Russia-Ukraine war. Especially, since 2020, the risk of international trade in the energy market has increased significantly due to changes in the supply chain of transportation and due to prolonged demand reduction because of COVID-19 and the Russian-Ukraine war. Considering these points, this study analyzed connectedness between energy price, tanker index, and uncertainty to understand the connectedness between international trade in the energy market. Main results are summarized as follows. First, as a result of analyzing stable period and unstable period of the energy price model using the MS-VAR model, it was confirmed that both the crude oil market model and the natural gas market model had a higher probability of maintaining stable period than unstable period, increasing volatility by specific events. Second, looking at the results of the analysis of the connectedness between stable period and unstable period of the energy market, it was confirmed that in the case of total connectedness, connectedness between variables was increased in the unstable period compared to the stable period. In the case of the energy market stable period, considering the degree of connectedness, it was confirmed that the effect of the tanker freight index, which represents the demand-side factor, was significant. Third, unstable period of the natural gas market model increases rapidly compared to the crude oil market model, indicating that the volatility spillover effect of the natural gas market is greater when uncertainties affecting energy prices increase compared to the crude oil market.
Keywords
MS-VAR; connectedness; uncertainty; tanker freight index; energy price;
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Times Cited By KSCI : 6  (Citation Analysis)
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