• Environmental and Resource Economics Review
• /
• v.19 no.2
• /
• pp.215-242
• /
• 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
• /
• v.27 no.3
• /
• pp.495-520
• /
• 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
• /
• v.29 no.2
• /
• pp.171-194
• /
• 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.

• Cement
• /
• s.91
• /
• pp.29-35
• /
• 1983

• Environmental and Resource Economics Review
• /
• v.14 no.2
• /
• pp.291-336
• /
• 2005

This paper investigates how oil price changes have an impact on the Korean manufacturing production activities. For this investigation, we use a structural VAR motel to estimate impulse response functions of industrial production, producer price and export price to an oil price increase over manufacturing industries. It finds that in most manufacturing industries, an oil price increase leads to decreases in industrial productions and domestic prices except energy intensive industries, but to increases in industrial export prices except non-metallic (26), computers and offic machinery (30), electronic components, radio, television and communication (32) industries. This result explains that an oil price increase makes negative impacts on the manufacturing production activities not only through demand slowdown in the domestic markets but also through supply contraction in the export markets.

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

• The Journal of the Convergence on Culture Technology
• /
• v.4 no.3
• /
• pp.93-98
• /
• 2018

The article studies macroeconomic effects of the oil shock for Korea, which is a representative emerging economy of Asia and a small open economy. This article analyzed the macroeconomic effects of oil shocks in terms of demand and supply. In the case of Korea, oil price shocks different responds depending on factors of shock. Oil supply shock have led to a decline in industrial activity and interest rate, and oil specific demand shock have shown the greatest increase in interest rate relative to other oil price shocks. In addition, oil demand shock driven by economic activity showed that the comsumer price and the exchange rate are the largest compared to the oil shock caused by other factors. Therefore, policy makers will need to identify the source of the oil shock.

• 우유
• /
• s.48 spring
• /
• pp.30-36
• /
• 1992

경영환경이 빠르게 변하고 있다. 경영자는 이 변화하는 여건에 항상 즉각 대응하는 유연성을 지녀야 한다. 요즘 들어 상장회사의 부도 사태가 충격을 주고 있는데 이러한 사실은 큰 회사에 관한 문제만은 아니다. 모든 경영인이 타산지석으로 삼아야 할 일들이다. 우선, 우유대리점이나 유가공품 대리점은 어떻게 경영하는 것이 옳은가, 또한 가장 올바른 방법은 어떤 것인가 하는 것을 생각해 보자

• JOURNAL OF ELECTRICAL WORLD
• /
• s.349
• /
• pp.90-94
• /
• 2006

“해마다늘어만가는지구촌곳곳의기상이변, 특히세계유전지대의혹독한풍수해가지난해와마찬가지로일시에밀어닥친다면올해도국제유가의고공행진은하늘을찌를것이다.” 고유가가대세로점쳐지고있는가운데 2 0 0 6년새해를맞아유가의고공행진에대한극단적인우려감이높다. 지난해지구촌이 겪은미국발 허리케인의공포가채 가시지 않은 탓이다. 고유가의정착으로 인해고통을감내한 세계각국은올해초 국제유가의향방을대부분부정적으로내다보고있다. 고유가의원인으로는수요급증에따른수급불균형을우선꼽으면서도고공행진의유가를촉발할여러가지변수도다각도로진단하고있다. 지난해40% 가까이급등한국제유가는올한해에도고공비행을계속할것으로보고있는가운데일부언론은유가 6 0달러시대는이제기정사실화됐다고보도하기도했다. 만약부정적인상황이온다면“WTI 가격은최고 8 0달러, 두바이유가격은최고 6 7달러수준까지상승한다”는전망이나오는가하면“미국과이란의정치적충돌로페르시아만폐쇄사태라도터진다면유가가배럴당 1 0 0달러까지도치솟을수있다”는 경고도 나오고 있다. 우려는 하되 긍정적인 시각도 있다. 고유가가 올해 인플레에 미칠 영향에 대해 경제협력개발기구( O E C D ) 의코엔빈센트수석애널리스트가바로이경우다. 그는최근의고유가는지난 7 0년대와 8 0년대초의석유파동때와는성격이다르다고전제하면서다음과같이진단했다. “당시는공급쪽의충격이컸으나이제는수요급증으로발생하는것”이라고지적하며“선진권경제의석유의존도가크게떨어진점도고유가의파고가큰우려가되지않는다”고밝히고있다. 국내 전문가들도중동정세가 안정되고 미국 경기가 크게 둔화돼 석유수요가감소할경우에도 O P E C의 적극적 감산이예상돼유가가 4 0달러대밑으로내려가기는어려울것으로내다보고있다. 케임브리지에너지연구소( C E R A ) 의경우브렌트유기준으로 지난 연말 배럴당 5 5 . 4달러에서 올해는 5 3 . 5달러로되레떨어질것으로내다봤다. 2006년미국과중국의석유수요가대폭둔화될경우배럴당 4 1 . 3달러까지하락할수도있다는전망을내놨다. 그러나주요산유국의공급차질로인한비관 적인상황이도래할경우엔배럴당7 6달러까지도급등할것이라는경고도덧붙였다. 하여튼 2 0 0 6년유가의향방은고공추세에다주변변수가어떻게잘마무리되느냐, 나아가돌발풍수해에따라선‘껑충’거릴수밖에없다는진단이우세하다. 새해를맞아최근의국제유가동향과나아가유가의향방및변수를진단해봤다.

• The Korean Journal of Financial Management
• /
• v.24 no.3
• /
• pp.1-27
• /
• 2007

When banks prefer securities holding to lending, bank-dependent borrowers would be rationed in bank loan markets. This paper examines, both theoretically and empirically, the incentive of banks to hold securities rather than loans. When banks are in trouble due to an external shock and subsequent drain of deposit, they cannot reduce their loans quickly because loans are illiquid and are not easy to sell. Therefore, banks should respond to insured deposit drain by raising uninsured CDs or debentures. However, they cannot raise enough money through uninsured CDs or debentures when there is costly external finance premium. Meanwhile, if banks hold securities which are highly liquid, they can sell those securities and thus endure deposit drain without costly external financing. This explains why banks hold liquid securities of which yields to maturity are lower than those of loans. Banks' preference for securities comes from the existence of costly external finance premium, which is inversely related with bank net worth. After all, if bank net worth is kept high enough or capital market incompleteness is not severe, the preference for securities should be weakened.