유가 변동은 경제성장에 대해 비대칭적 효과를 갖는가? -한, 중, 일 3국에 대한 NARDL모형 분석을 중심으로-

PIAO, SHAN YU,남수중 한국동북아경제학회 2023 동북아경제연구 Vol.35 No.1

In this paper, We empirically analysis the impact of oil prices on the economic growth of Korea, China, and Japan in Northeast Asia. The analysis period used variables such as per capita GDP, international oil prices, real effective exchange rates, consumer price index, and total currency in the three countries from the first quarter of 2000 to the fourth quarter of 2022. The NARDL model proposed by Shin et al. (2014) was applied to analyze the effects of rising and falling oil prices. In this study, first, it was found that fluctuations in oil prices in all three countries affect economic growth. However, it was not statistically significant in the long run. Second, the impact of oil prices on economic growth in all three countries was found to be asymmetric. In the short term, the rise and fall of oil prices showed statistical significance in Korea, China and Japan. Third, the impact of oil prices in Korea and Japan is similar to the analysis results of previous studies analyzed in advanced countries (e.g., OECD countries). However, in the short term, the impact of oil price fluctuations on China has differentiated results from Japan and Korea. Each of the three countries’ error correction terms coefficients is statistically significant, which means that short-term economic growth is adjusted to a long-term equilibrium relationship at a certain rate for one year if any impact occurs in the system.

한국 금리, 환율, 주가의 수익률과 변동성 간의 동적 연계성

최완수 한국무역연구원 2019 무역연구 Vol.15 No.4

Purpose - This research aims to examine the dynamic interaction of return and volatility of interest rate, exchange rate and stock price in Korea. For this, we investigate the volatility spillovers, volatility asymmetric effects and pricing of uncertainty to asset price returns of each market. Design/methodology/approach -The sample period is from the beginning of 2001 to the December 28, 2018. Total 4,386 daily data are analyzed using the multivariate GARCH model framework. Findings -The result are as follows. First, the DCC GARCH model with student t error distribution is the most superior than other multivariate GARCH models. Second, there are bidirectional volatility spillovers between interest rate and exchange rate. However, the spillover from exchange rate to interest rate is disappeared when the global financial crisis dummy variables are included in the model. Third, the volatility asymmetric effects are found in exchange rate and stock price. However, the negative shock of exchange rate return decrease the volatility of foreign exchange market, while that of stock price return increase the volatility of equity market. Finally, the uncertainty of equity market influences on other markets’ asset returns as well as its own price return. However, equity market uncertainty has a negative effect to bond market return, while it have a positive effects to foreign exchange and equity market. Research implications or Originality - This study can provide a better understanding of the dynamic linkage between Korean financial markets and the nature of the risks that market participants have to deal with. For the future analysis, the expansion of the analyzing countries, more exquisite sample periods segmentation, and the policy establishment for financial market stabilization are needed.

일중자료를 이용한 가격제한폭의 유용성에 관한 실증연구

이상빈(Sang Bin Lee),최우석(Woo Suk Choi) 한국경영학회 2003 經營學硏究 Vol.32 No.1

This study empirically investigates transitory and asymmetric properties in price limits at the Kcrean Stock Exchange. Even though there has been much empirical research for or against price limits in the literature, we point our two flaws to be remedied. Flaws to be remedied. First, most research has used inter-day data rather than intra-day data, which hag resulted in ignoring the underlying forces to determine prices. Second, they have assumed that the effects of price limits are symmetric across upper price limits and lower price limits. The asymmetric effect would not be detected without using using the intra-day data. Specifically, the adverse effects of price limits such as trading interference are stronger when prices hit upper limits rather than lower limits, Having observed the asymmetric and transitory features of price limits, we suggest that the magnitude of the upper limit should be bigger than that of the lower limit in order to strike the balance between the market efficiency enhancement and volatility reduction.

국내 휘발유 가격의 비대칭 조정과정: 비대칭 ARDL 모형을 통한 검정 및 추정

유병철 충남대학교 경영경제연구소 2020 경영경제연구 Vol.42 No.1

This paper is to analyze the short-run and long-run asymmetric effects of dubai crude oil prices and exchange rates on the gasoline prices using the asymmetric ARDL model. The major results are the followings. First, we find long-run asymmetries in the response of before and after tax gasoline prices to crude oil prices and exchange rates but can not find short-run asymmetries. Second, the long-run effect on gasoline prices in the case of crude oil increase is greater than that in the case of crude oil decrease. Third, when the degrees of response on before and after tax gasoline prices to the crude oil prices are compared, the changes in before tax gasoline prices are greater than the changes in after tax gasoline prices. This implies that tax plays on the role of downward gasoline price rigidity. But we find the asymmetries even in before tax gasoline prices, tax is not the only factors on the downward rigidity and other factors are also responsible for the downward rigidity. Fourth, the long-run effect on gasoline prices in the case of exchange rates decrease is greater than that in the case of exchange rates increase. 본 연구는 비대칭 ARDL 모형을 이용해 국제 원유 가격과 환율이 국내 휘발유 가격에 미치는 장·단기 비대칭적 효과를 검정하고 추정하였다. 본 논문의 주요 분석 결과는 다음과 같다. 첫째, 국제 원유 가격과 환율은 세전 및 세후 국내 휘발유 가격에 장기적으로 비대칭 효과를 주며, 단기적 비대칭 효과는 유의하지 않았다. 둘째, 국제 유가 인상 시 국내 휘발유 가격에 미치는 인상 폭이 국제 유가 하락 시 국내 휘발유 가격에 미치는 인하 폭보다 세전, 세후 국내 휘발유 가격에서 모두 다 큰 것으로 나타났다. 셋째, 국제 유가가 배럴 당 1 달러 하락한 경우 세전 가격은 리터 당7.935원 감소하고 세후 가격은 리터 당 7.553원 감소하여, 세금이 국내 휘발유 가격의 비대칭 조정과정에 영향을 미쳤다는 사실을 확인할 수 있었다. 그러나 세전 가격에도 비대칭성이 존재하여 세금 이외의 다른 요인들이 비대칭성에 영향을 미치고 있음을 알 수 있다. 넷째, 환율 변화도 국내 휘발유 가격에 비대칭 효과를 유발하며, 환율이 상승하는 경우보다 하락하는 경우에 국내 휘발유 가격에 미치는 영향이 큰 것으로 분석되었다.

The Stock Price Response of Palm Oil Companies to Industry and Economic Fundamentals

ARINTOKO, Arintoko Korea Distribution Science Association 2021 The Journal of Asian Finance, Economics and Busine Vol.8 No.3

This study aims to examine empirically the industry and economic fundamental factors that affect the stock prices of the leading palm oil company in Indonesia. The dynamics of stock price are analyzed using the autoregressive distribution lag (ARDL) model both for symmetric and asymmetric effects. The data used in this study are monthly data for the period from 2008:01 to 2020:03. In the long run, the company stock price moves in line with the competitor company stock price at the current time. The palm oil price has a positive effect on the stock price. Meanwhile, inflation negatively affects the stock price in the short run. The estimated equilibrium correction coefficient indicates a reasonably quick correction of the distortion of the stock price equilibrium in monthly dynamics. However, fundamental factors have asymmetric effects, especially the response of stock price when these factors decrease rather than increase in the short run. Stock prices that are responsive to declines in fundamental performance should be of particular concern to both investors and management in their strategic decision making. The results of this study will contribute to the enrichment of literature related to stock prices from the viewpoint of economic analysis on firm-level data.

油價上昇이 국민소득, 물가 및 통화적책에 미치는 영향

李根榮,鄭漢永 한국금융연구원 2002 금융연구 Vol.16 No.2

본 논문에서는 백터 오차수정모형을 이용하여 지난 30년간 유가상승이 국민소득과 물가, 그리고 통화정책에 동태적으로 어떤 영향을 미쳤는가를 살펴보았다. 분석결과 유가상승은 GDP를 감소시킨 반면 소비자물가지수를 상승시켰다. 외환위기 이후의 기간을 제외시킬 경우 유가상승의 효과는 더욱 명백해져 유가상승 충격이 GDP와 소비자물가지수의 변화를 설명하는 비율이 가장 큰 것으로 나타났다. 그러나 유가가 물가에 큰 영향을 미침에도 불구하고 통화량에는 별 영향을 미치지 못함으로써 통화당국이 경기침체를 우려하여 통화정책을 긴축적으로 운용하지 못했던 것으로 보인다. 한편 유가와 GDP 또는 소비자물가지수와의 비대칭관계를 살펴본 결과 유가가 상승할 때가 하락할 때보다 GDP 또는 소비자물가지수와 더 유의적인 관계를 가지고 있으며, 특히 GDP보다는 소비자물가지수와의 비대칭관계가 더 큰 것으로 나타났다. Using the vector error correction model, this paper analyzes the dynamic effects the rise in oil prices had on national income, inflation, and monetary policy during the past three decades. The conclusion is that a rise in oil prices reduces the GDP (Gross Domestic Product) and increases the CPI (Consumer Price Index). Excluding the post currency crisis period, the effect a rise in oil prices had on the GDP and CPI is more obvious. However, although a rise in oil prices significantly triggered inflation, it did not affect money supply. This implies that the monetary authorities failed to accomodate a flexible monetary policy in order to stabilize inflation. After analyzing the asymmetric effect of oil prices on the GDP and CPT, it is shown that a rise in oil prices affects the GDP and inflation more significantly than a decline in oil prices. In particular, the asymmetric effect is more attuned to the CPI rather than to GDP.

중국 화폐수요에 대한 주가 영향력의 새로운 증거

Shengliang Zhao,박정일 한국아시아학회 2023 아시아연구 Vol.26 No.4

Our study re-examines if including stock prices in China’s money demand function (MDF) yields a stable MDF. Unlike prior research, we used nonlinear autoregressive distributed lag model, which permitted exploring asymmetric effects of stock prices on money demand. The empirical results show that the wealth effects of stock prices on money demand are asymmetric in the short run. The long-run effect is only discernible in negative changes in stock prices. The stability of the long-run equilibrium of MDF highlights the role of the negative changes in stock prices. The asymmetric effects will help authorities design policies to stabilize Chinese financial markets.

원화환율 변동의 국내 물가에 대한 전가행태 비교분석 : 글로벌 금융위기 전후를 중심으로

장광수,김홍기 경성대학교 산업개발연구소 2017 산업혁신연구 Vol.33 No.4

본 연구는 자유변동환율제도와 물가안정목표제가 어느 정도 정착된 2000년 이후를 대상으로 원화환율 충격이 국내 물가에 미치는 영향에 대해 구조적 VAR모형 및 자기회귀시차분포(ARDL)모형을 이용하여 살펴보았다. 특히 글로벌 금융위기 이전과 이후 기간으로 나누어 환율전가 효과를 비교분석하였다. 분석결과 수입물가, 생산자물가, 소비자물가 등 각 단계별 물가에 대한 환율전가가 불완전하고 환율전가도의 크기는 수입물가, 생산자물가, 소비자물가 등의 순이며 글로벌 금융위기 이후의 환율전가도가 이전에 비해 모두 작아진 것으로 나타났다. 또한 환율전가의 비대칭성이 존재하나 모든 물가에서 환율 하락기가 상승기에 비해 환율전가도가 큰 것으로 분석되었다. 장․단기 환율전가도는 글로벌 금융위기 이전에는 대체로 장기가 단기보다 큰 것으로 나타났으나 위기 이후에는 수입물가의 경우 단기가 장기보다 큰 것으로 추정되었다. 글로벌 금융위기 이후 각 물가에 대한 환율전가도가 작아졌다는 점은 물가안정을 위한 인위적인 환율조정의 필요성이 더욱 줄어들었음을 시사한다 This research aims at analysing the pass-through effect of Won exchange rate change on domestic prices for the period of after 2000, using structural VAR and ARDL. Expecially we focused on comparing the effects of exchange rate change before and after the global financial crisis. The empirical results show that the pass-through of exchange rate on domestic price is not perfect and the magnitude of pass-through of exchange rate is high in order by the import price, the producer price and the consumer price. Also the magnitude of pass-through is lowered after the global financial crisis. The pass-through effect is higher in the period of appreciation of won exchange rate than in the period of depreciation. The long run pass-through effect is larger than the short run effect, whereas the short run pass-through effect in the import price is larger than the long run effect after the global financial crisis. The lower pass-through effect after the global financial crisis implies that the manipulative exchange rate policy for maintaining the price stability is very limited.

국내 사료가격 변동에 미치는 국제옥수수가격과 환율의 비대칭적 효과 분석

이용호,양승룡 한국농업정책학회 2003 농업경영정책연구 Vol.30 No.4

A recent study by Yang(2003) found that the widespread belief in the Korean livestock industry that the feed price is largely affected by the international prices of feed grains was not supported. This short article examines the possibility of asymmetric effects by the feed price changes. The empirical results do not show little evidence to support this hypothesis. It is safer to conclude that the feed prices in Korea are not tied to the movement of international grain prices.

국제유가 변동이 울산지역 산업에 미치는 영향

황선웅(Sunoong Hwang),박하일(Hail Park),이지혜(Jihye Lee) 한국산업경제학회 2016 산업경제연구 Vol.29 No.6

본고는 국가간 연계성 분석을 위해 고안한 Global VAR모형을 응용하여 지역 내 산업간 연계성을 고려하였다. 또한 부호제약(sign restriction)을 이용하여 원유 공급충격, 세계경기 수요충격, 투기적 수요충격 등 3가지 구조적 충격이 국제유가 상승 및 하락 시 울산지역 주요 산업의 생산에 미치는 비대칭적인 파급효과를 분석하였다. 본고의 분석결과는 다음과 같다. 첫째, 원유 공급충격과 투기적 수요충격에 의해 국제유가가 상승하는 경우 제조업 생산이 감소하는 반면, 세계경기 수요충격에 의해 국제유가가 상승하면 제조업 생산이 증가하는 것으로 분석되었다. 둘째, 산업별 반응을 비교해 보면 원유 공급충격과 투기적 수요충격에 의해 국제유가가 상승하면 대체로 자동차와 전기전자 산업의 생산이 큰 폭으로 감소하는 것으로 추정되었다. 셋째, 유가 상승 및 하락에 대한 생산 반응의 절대값이 크게 다르지 않은 것으로 분석되어 유가 충격 효과의 비대칭성은 뚜렷하지 않았다. 넷째, 울산지역 주요 산업에 대한 국제유가 충격의 1/3~1/4 정도는 지역 내 산업간 투입-산출 관계에 의한 간접효과로 분석되었다. This paper considers cross-industry linkages in Ulsan region by using the Global VAR approach. In addition, “sign restriction” has been applied to investigate the asymmetric spillover effects on Ulsan’s major economic activities of three different types of oil shocks, specified supply shocks, demand shocks caused by global economic activity and speculative demand shocks. Firstly, we find that a rise in oil price caused by supply shocks or speculative demand shocks decreases manufacturing industries’ output while that caused by demand shocks which come from global economic activity is shown to have opposite effects. Secondly, when categorized into industries, we show that both the automobile industry and electronic&electrical industries are severely depressed by oil price’s increase caused by supply shocks and speculative shocks. Thirdly, the effects of positive shocks and negative shocks are not significantly different. Lastly, 1/3~1/4 effects of oil price changes on Ulsan’s major industries are found to be indirectly passed through the input-output relations across different industries.