구조변화를 고려한 한국의 LNG 가격 추정 = Estimation of Korean LNG Price Allowing a Structural Change

국문 초록 (Abstract)

현재 한국은 천연가스 수요의 99%를 LNG 형태로 해외로부터 수입하고 있으며, 80% 이상을 유가에 연동된 가격 공식을 갖고 있는 장기 LNG 계약을 통해 도입하고 있다. LNG 도입 가격 추정은 다양한 천연가스 이해 관계자들에게 중요한 정보를 제공하게 됨에도 불구하고 아직까지 활용할 수 있는 계량 모형이나 실증 분석이 이루어지지 않았다. 따라서 본 논문에서는 한국 LNG 도입 가격의 특성을 반영하여 국제 유가와 장기적인 균형 관계(공적분 관계)가 있는지와 그러한 장기 균형 관계에 구조적 변화가 있었는지를 실증적으로 분석하고, 한국의 LNG 가격 추정 모형으로 구조변화를 고려한 조건부 확장 오차수정모형을 구축하였다. 최종적으로 선정된 조건부 확장 오차수정모형에 따르면, 국제 유가의 충격은 과거와는 다른 양상으로 한국의 LNG 가격에 비선형적으로 파급된다.

다국어 초록 (Multilingual 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.

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