Causes and Consequences of Oil Price Uncertainty

Seojin Lee; Jongmin Yu

doi:10.22794/keer.2022.21.1.004

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2022 Vol.21, Issue 1 Preview Page Next Page

Research Article

Causes and Consequences of Oil Price Uncertainty 예측오차의 확률분포에 기반한 국제유가 불확실성 분석

31 March 2022. pp. 87-113

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Abstract

Using survey forecast data, we newly construct the oil price uncertainty index which is distinct from the commonly used volatility measures. The oil price uncertainty index appropriately captures the unexpected surge and plunge in oil price, such as the global financial crisis in 2009. We find that the oil uncertainty is closely related to the economic fundamentals of the oil market and responds asymmetrically to these variables. In addition, the significant explanatory power of oil price uncertainty on stock price in global and individual countries suggests a new perspective on the importance of oil price.

Keywords

Oil price

uncertainty

survey forecast

Forecast error distribution

이 논문은 유가 전망(survey forecast) 데이터를 활용하여 시장이 예상하지 못한 유가의 움직임을 반영하는 국제유가 불확실성을 지수화하고 이와 관련된 결정변수와 영향력을 파악하는 데 목적이 있다. 예측오차의 확률분포를 바탕으로 측정한 유가 불확실성은 2009년 세계 금융 위기 이후의 유가 하락 시기나 10년 만에 최저치를 기록하였던 2015년 등 유가의 급등락을 잘 나타낼 뿐만 아니라 국제원유 시장 고유의 불확실성 정보를 함축하고 있음을 확인하였다. LASSO와 구조변화를 고려한 회귀분석 결과, 유가 불확실성은 원유 수급 관련 경제변수와 밀접한 연관성을 가지고 있고 특히 유가 상승과 하락에 따른 불확실성은 경제변수에 비대칭적으로 반응하는 것으로 나타났다. 또한 유가 불확실성이 세계 주식시장 전반에 상당한 설명력을 가진다는 분석 결과는 국제유가의 영향력에 대한 새로운 관점을 제시한다.

키워드

국제유가

불확실성

유가 전망

예측오차

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Information

Publisher :Korea Energy Economic Institute·Korea Resource Economics Association
Publisher(Ko) :에너지경제연구원·한국자원경제학회
Journal Title :Korean Energy Economic Review
Journal Title(Ko) :에너지경제연구
Volume : 21
No :1
Pages :87-113
Received Date : 2022-01-25
Revised Date : 2022-03-03
Accepted Date : 2022-03-14
DOI :https://doi.org/10.22794/keer.2022.21.1.004

Korean Energy Economic Review ISSN:1599-7057(Print) 에너지경제연구

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