• Environmental and Resource Economics Review
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• v.13 no.2
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• pp.175-194
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• 2004

Volumes of research have been implemented to estimate and predict the oil price. These models, however, fail in accurately predicting oil price as a model composed of only a few observable variables is limiting. Unobservable variables and news that have been overlooked in past research, yet have a high likelihood of affecting the oil price. Hence, this paper analyses the news impact on the price. The standard GARCH model fails in capturing some important features of the data. The estimated news impact curve for the GARCH model, which imposes symmetry on the conditional variances, suggests that the conditional variance is underestimated for negative shocks and overestimated for positive shocks. Hence, this paper introduces the asymmetric or leverage volatility models, in which good news and bad news have different impact on volatility. They include the EGARCH, AGARCH, and GJR models. The empirical results showed that negative shocks introduced more volatility than positive shocks. Overall, the AGARCH and GJR were the best at capturing this asymmetric effect. Furthermore, the GJR model successfully revealed the shape of the news impact curve and was a useful approach to modeling conditional heteroscedasticity.

• Korea Petroleum Association Journal
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• no.2 s.192
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• pp.26-28
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• 1997

유가 자유화 이후 석유제품가격이 인상되면서 소비자들의 불만이 크다. 이러한 불만과 비난의 상당부분은 석유제품가격이 어떻게 구성되어 있는지, 또 어떤 요인들에 의해 변동되고 있는지에 대해 일반소비자들이 잘 모르고 있기 때문에 나타나는 현상일 수도 있다. 월간 주유소 1월호에 유가자유화와 관련하여 실시한 설문조사 결과도 이러한 사실을 잘 나타내주고 있다. 특히 설문조사 문항중 유가결정 구조에 대해 알고 있느냐는 질문에 대해 응답자중 93%가 「모른다」고 대답한 사실은 깊이 새겨봐야 할 부분이다. 정부고시가격 체계하에서는 유가산정의 근거 및 변동요인등에 대한 대국민홍보는 기본적으로 정부에게 책임이 있었으나, 유가 자유화 이유에는 석유업계가 그 정당성 및 타당성을 스스로의 책임하에 소비자에게 설득하고 홍보해야만 할 것이다. 이러한 홍보활동은 고객에 대한 서비스, 고객의 알 권리 충족이라는 차원에서 뿐만 아니라, 앞으로의 석유업계가 지속적으로 성장 발전하기 위해서 필수 불가결한 요소가 될 것이다. 월간 주유소 1월호의 소비자 설문조사 결과를 요약, 전재한다. <편집자 주>

• Management & Information Systems Review
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• v.38 no.3
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• pp.1-19
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• 2019

This paper investigates the asymmetric effects of crude oil price uncertainty on industrial stock returns under different market conditions (bearish and bullish stock markets). We consider a quantile regression method using monthly oil volatility index, KOSPI and 22 industrial stock indices from May 2007 to February 2019. Especially, we take care of the positive and negative changes of the oil volatility index to analyze asymmetric effects of the oil price uncertainty for the bearish and bullish stock market conditions. During the bearish markets, the oil volatility index has relatively strong statistically significant negative effects on the industrial stock returns. These effects gradually decrease when the market conditions became more bullish markets. In particular, positive changes in the oil volatility index yields a further significant decrease in 12 industrial stock returns during the extreme bearish markets. Moreover, during the bullish markets, negative changes in the oil volatility index have statistically significant negative effects on the 12 industrial stock returns. From the empirical results, we see that participants of the Korean stock market are sensitive to bad news in a recession.

• Environmental and Resource Economics Review
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• v.19 no.2
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• pp.215-242
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• 2010

This study constructs a bayesian neoclassical DSGE model that applies oil usage. The model includes technology shocks, oil price shocks, and shocks to energy policies as exogenous driving forces. First, this study aims to analyze the roles of these exogenous shocks in the Korean business cycle. Second, this study examines the effects of long-term changes in the energy consumption structure, including the reduction in oil use as a share of energy consumption and improvement in oil efficiency. In the case of oil price shocks, results show that these shocks exert recessionary pressure on the economy in line with those obtained in the previous literature. On the other hand, shocks to energy policies, which reduce oil consumption per capital, result in opposite consequences to oil price shocks, decreasing oil consumption. Also, counterfactual exercises show that long-term changes in the energy consumption structure would mitigate the contractionary effects of oil price shocks.

• Environmental and Resource Economics Review
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• v.27 no.3
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• pp.495-520
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• 2018

Because of structural changes in the international oil market and the economy, it is widely recognized that the impact of oil shocks on the economy has weaken since the mid-1980s. This study tries to examine the validity of the recent perception about the relationship between oils shocks and the economy, estimating the time-varying effects of oil shocks on the Korean economy. The results show that the dynamic effects of oil shocks normalized to a one standard deviation has been relatively constant, in contrast to the recent perception and a number of existing studies. In addition, because the shape of impulse response functions at each point in time spanning from 1984:II to 2017:IV has not been changed significantly, it seems that the propagation mechanism of oil shocks also has not been substantially altered. These findings indicate that even though structural changes of the economy, such as the reduction in the share of oil consumption and the spread of high-efficiency energy technologies, have been rapidly progressed, it is not still enough to offset the negative effects of oil shocks. Rather, it seems that the recent perception about the shrinking effects of oil shocks is mainly due to the assumptions that do not reflect changes in the size of oil shocks. In particular, this problem appears more pronounced in the case of the typical a one standard deviation increase oil shock under homoskedasticity assumption, which is widely adopted in the most VAR analyses. Therefore, in estimating the effects of oil shocks on the economy, it is important to specify the correct model and normalization method, to reflect changes in the size of oil shocks.

• Environmental and Resource Economics Review
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• v.29 no.2
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• pp.171-194
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• 2020

We revisit the impact of oil shocks on the Korean economy and examine how this impact varies depending on a business cycle. First, we estimate the probability of a recession through a logistic probability distribution, and correct the probability to match business cycles announced by the Korea National Statistical Office. We set up a STVAR model to analyze the response of macroeconomic variables to oil shocks according to business cycles. We find that oil shocks during the recession have a negative effect on GDP in the mid- and long-term, but during the expansion, GDP does not show a statistically significant response to oil shocks. We presume that this finding is associated with the factors of both the increase in demand for consumption and the increase in current account during the economic boom. Also, we find that the impact of oil shocks on the price level was also observed differently in terms of the persistence of inflation by business cycle. These results highlight the importance of an application of a regime switching model, which has been widely used in energy economics in recent years.

• The Korean Journal of Financial Management
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• v.24 no.4
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• pp.75-106
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• 2007

In this study, it is analyzed whether oil price plays a major role in the pricing return on Koran stock market and examined why the covariance risk between oil and return on stock is different in each industry. Firstly, this study explores whether the expected rate of return on stock is pricing due to global oil price factors as a function of risk premium by using a two-factor APT. Also, it is examined whether spill-over effects of oil price volatility affect the beta risk to oil price. Considering the asymmetry of oil price volatility, we use the GJR model. As a result, it shows that oil price is an independent pricing factor and oil price volatility transmits to stock return in only electricity and electrical equipment. Secondly, the two step-analyzing process is introduced to find why the covariance between oil price factor and stock return is different in each industry. The first step is to study whether beta risk exists in each industry by using two proxy variables like size and liquidity as control variables. The second step is to grasp the systematic relationship between the difference of liquidity and size and beta to oil price factor by using the panel-data model which can be analyzed efficiently using the cross-sectional data formed with time series. Through the analysis, we can argue that oil price factor is an independent pricing factor in only electricity and electrical equipment having the greatest market capitalization, and know that beta risk to oil price factor is a proxy of size in the other industries. According to the result of panel-data model, it is argued that the beta to oil price factor augments when market capitalization increases and this fact supports the first assertion. In conclusion, the expected rate of return of electricity and electrical equipment works as a function of risk premium to market portfolio and oil price, and the reason to make beta risk power differentiated in each industry attributes to the size.

• Korea Petroleum Association Journal
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• no.1 s.107
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• pp.66-70
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• 1990

이 논문은 OPEC(석유수출국기구) 전사무총장인 HE Dr Subroto가 지난해 유럽 정치인들과 학자들의 저명한 모임인 'the Royal institute for international Relations'에서 행한 연설 내용을 옮긴 것이다. 수브로토는 이 연설에서 만일 생산자들과 소비자들이 과거의 불신을 뛰어넘어 석유교역에 있어서의 전지구적인 상호의존성을 받아들인다면 유가의 격심한 변동은 피할 수 있을 것이라는 견해를 피력하였다. <편집자 주>

• The Journal of the Convergence on Culture Technology
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• v.9 no.1
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• pp.89-94
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• 2023

Recently, credit risk in the Chinese corporate bond market has increased significantly, and there is a possibility that banks that have invested in corporate bonds may become insolvent. The purpose of this study is to empirically analyze the effect of Chinese commercial banks' investment in securities on financial performance. The analysis results are as follows. First, it is estimated that as the share of securities investment by Chinese commercial banks increases, the bank's profitability decreases. It was found that investment in securities did not have a positive impact on profitability due to the increase in credit risk in the corporate bond market and the increase in marginal companies. Second, it is estimated that as the proportion of securities investment by Chinese commercial banks increases, the bank's soundness deteriorates. As credit risk in China's capital market is increasing, continuous management of non-performing assets is required. Chinese commercial banks need portfolio management through securities investment in addition to loan assets to improve profitability. However, volatility should be managed by adjusting the scale of securities management to an appropriate level.

• Journal of Korea Ship Safrty Technology Authority
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• s.21
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• pp.31-50
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• 2006

국제 유가 변동에 따라 우리나라를 비롯한 주요 석유소비국들의 경제적 타격은 극심하여 경제성장률 및 물가와 경상수지는 민감한 반응을 보인다. 특히, 석유 수입량이 많은 우리나라의 경우는 그 타격이 매우 극심하다. ’06년 5월 국제 유가가 배럴당 68달러 선까지 까지 상승하였으며, 현재 64달러 선을 오르내리고 있다. 유가가 80달러 선을 넘어서면 기업 10곳 중 6곳은 공장문을 닫아야 한다고 전망하고 있다. 본 연구는 유가 상승에 의한 연료비 부담으로 채산성 악화의 위기에 처해 있는 수산업계 애로사항 해결을 위하여 정부 주도하에 민간 기업과 학계 등의 참여를 통하여 연료비 절감을 위한 모델시스템을 연구 개발토록 추진하게 되었다.