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Research Article

Time-Varying Effects of Global Oil Price Shocks on the Korean Stock Market

유형별 국제유가 충격이 한국 주식시장에 미치는 시간 가변적인 영향

Geon Hee Lee1
,
Ha Yeon Kim2
,
Young Min Kim3*
이 건희1
,
김 하연2
,
김 영민3*
1Department of International Trade, Jeonbuk National University (First author)
2Department of Industrial and Information Systems Engineering, Jeonbuk National University (Co-author)
3Department of International Trade, Jeonbuk National University (Corresponding author)
1전북대학교 무역학과 대학원생 (주저자)
2전북대학교 산업정보시스템공학과 학부생 (공동저자)
3전북대학교 무역학과 부교수 (교신저자)
*Corresponding Author
30 September 2025. pp. 99-142
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Abstract

This study investigates the time-varying effects of global oil price shocks on the Korean stock market. Following Kilian (2009), oil shocks are identified as supply shocks, aggregate demand shocks, and speculative demand shocks, and their impacts are estimated using a time-varying parameter vector autoregression model with stochastic volatility (TVP-VAR-SV). The analysis covers January 1980 to March 2024, capturing major global events. The results show that oil supply shocks generally had limited effects, though their influence intensified after COVID-19. Aggregate demand shocks exerted strong positive effects before the global financial crisis but weakened or even turned negative thereafter, indicating a structural shift. Speculative demand shocks have remained persistently influential since the 2000s, dominating the forecast error variance of stock returns. Overall, the findings highlight that the effects of oil shocks are not constant but evolve across macroeconomic conditions and market environments. These results underscore the importance of distinguishing between shock types and accounting for their time-varying nature, particularly for an open, oil-import-dependent economy like Korea.

Keywords
Oil price shock
Korea stock return
TVP-VAR-SV
Impulse Response
Variance decomposition

본 연구는 국제 유가충격이 한국 주식시장에 미치는 시간 가변적 영향을 분석한다. 이를 위해 Kilian(2009)을 따라 유가충격을 공급, 총수요충격, 투기적 수요충격으로 식별하고, 이들이 한국 주식시장 실질 수익률에 미치는 영향을 TVP-VAR-SV 모형을 활용하여 실증적으로 분석하였다. 분석에는 1980년 1월부터 2024년 3월까지의 데이터를 활용하였으며, 아시아 외환위기, 글로벌 금융위기, 셰일 혁명, COVID-19, 러시아-우크라이나 전쟁 등 주요 사건들을 포함하여 시기별 충격 반응의 이질성과 구조적 전환을 확인하였다. 실증 분석 결과, 공급충격은 전반적으로 미약한 영향을 보였으나 COVID-19 이후 파급력이 확대되었음을 확인하였다. 총수요 충격은 금융위기 이전에는 유의한 양(+)의 영향을 보였으나, 이후 그 영향력이 급격히 약화되거나 오히려 음(-)의 반응으로 전환되는 구조적 변화를 관측하였다. 투기적 수요충격은 2000년대 이후 강한 영향력을 보였고, 2010년대 이후에도 그 중요성이 유지되고 있다. 게다가 유형별 충격의 한국 주식시장 예측오차의 분산에 대한 기여도가 시기에 따라 유의하게 달라졌으며, 특히 투기적 수요충격이 가장 지속적이고 강한 설명력을 가짐을 확인하였다. 이러한 결과는 유가 충격의 영향이 경제 여건과 시장 환경 변화에 따라 구조적으로 달라질 수 있음을 시사한다. 이는 한국처럼 원유 수입 의존도가 높고 제조업 중심의 개방 경제에서, 유가 충격의 유형별･시기별 효과를 정량적으로 분석하는 것이 정책 수립과 시장 전망 측면에서 중요한 실질적 함의를 지닌다는 점을 강조한다.

키워드
분산분해
유가충격
충격반응
한국 주식시장
TVP-VAR-SV
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  • Publisher :Korea Energy Economic Institute·Korea Resource Economics Association
  • Publisher(Ko) :에너지경제연구원·한국자원경제학회
  • Journal Title :Korean Energy Economic Review
  • Journal Title(Ko) :에너지경제연구
  • Volume : 24
  • No :2
  • Pages :99-142
  • Received Date : 2025-08-06
  • Revised Date : 2025-08-29
  • Accepted Date : 2025-09-09
  • DOI :https://doi.org/10.22794/keer.2025.24.2.004
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