국내 정유시장의 경쟁도 분석: 휘발유와 경유를 중심으로

제상영,양현석,김형건 한국자료분석학회 2010 Journal of the Korean Data Analysis Society Vol.12 No.4

The purpose of this study is to measure the refinery market competition for wholesale oil products by studying the market price under the Korean market condition that 4 companies dominate. In order to do that, we use the monthly data from January 1997 to December 2007 and the demand and supply simultaneous equation which developed by Bresnahan(1982) and Lau(1982). As a result, it is found that Korean gasoline market shows the oligopolistic condition. this result is quite different from the previous study by Oh and Heo(2006) which used the same method with the date from January 1997 to June 2005 and concluded the Korean gasoline market was very close to perfect competition. In addition, the estimated coefficient shows that market price for diesel is even lower than the marginal cost. we guess that this is because Korean refineries have been oversupplying the diesel. 휘발유와 경유 대부분이 정유 4사에 의해 공급되는 국내 정유시장의 과점적 구조를 고려하여 본 연구는 실제 석유제품의 시장가격 역시 과점적 특징을 보이는지를 확인함으로서 국내 정유사 간의 경쟁도를 측정하고자 한다. 이를 위해 본 연구에서는 1997년 1월부터 2007년 12월까지의 월별자료를 Bresnahan(1982)과 Lau(1982)이 제시하였던 수요·공급 연립방정식의 구조적 접근 방법을 사용하여 추정하였다. 추정결과, 시장의 경쟁도를 측정할 수 있는 휘발유 산출량의 추정계수는 통계적으로 유의한 0.701이 도출되었고 이를 통해 국내 휘발유 시장이 과점적 특징을 보이고 있음을 확인하였다. 이는 1997년 1월에서 2005년 6월까지의 자료를 동일한 방법을 통해 추정하여 국내 휘발유 시장이 완전경쟁에 가깝다고 평가한 오선아 허은녕(2006)과는 상반된 결과이다. 추가적으로 경유 시장의 경쟁도를 확인할 수 있는 경유 산출량의 추정계수는 -0.016이 도출되었다. 이는 경유시장이 완전경쟁의 형태를 띠고 있기보다는 과잉공급으로 인해 국내 생산된 경유의 재고가 많기 때문인 것으로 추정된다.

Examinations of the Restructured Korea Economy

제상영,양현석,조아라 한국자료분석학회 2010 Journal of the Korean Data Analysis Society Vol.12 No.4

In this paper, the constant conditional correlation(Bollerslev, 1990)-multivariate threshold GARCH(Glosten, Jaganathanm and Runkle, 1993) procedure is used to model the relationship between the renovated Korea economies and asymmetry effects after the financial crisis. These is one hypothesis: the insulation effect hypothesis. In terms of short- and long-run domestic shock and foreign shock, volatility of short-run domestic increases by 0.0261, while that of short-run foreign shocks decreases. However, volatility of long-run shock decreases for domestic and foreign shocks, respectively. Therefore, these results indicate that stable Korea economy has better insulation effects for the long-run period.

Impacts on Crop Basis Variability: The Value of Spatial Time-Varying Parameter Model and EMD Approaches

제상영 한국자료분석학회 2014 Journal of the Korean Data Analysis Society Vol.16 No.2

We specify and estimate spatial time-varying parameter model and empirical mode decomposition to describe significant factors affecting corn and soybean basis variability from January 1996 to December 2006 using the weekly data. The DTN Farm data and the commodity research bureau provide cash prices, futures prices, rolled forward on the first trading week of the contract expiration month, respectively. The futures market liquidity, obtained from bridge, was calculated as trading volume for each commodity during week divided by open interest for each commodity during week. A total of 6864 observations are used. Based on two methods, we find spatial effects strengthen the grain basis, while other factors are statistically insignificant. These findings support the grain basis varies among different market points. Moreover even though estimates of transportation costs are statistically insignificant at any level, long-run trends of theses factors are similar. So we expect two factors have similar impacts on the crop basis.

Effect of World Events on Responsive Volatility of South Korea Stock Market : Exponential GARCH Approaches

제상영,조아라,김정원 한국자료분석학회 2009 Journal of the Korean Data Analysis Society Vol.11 No.6

This article examines responsive volatility and its determinants of Korea Stock Price. We consider country-specific 'economic' and 'non-economic' events for estimating our stock model using daily data, the Korea Composite Stock Price Index(KOSPI) from January 2nd 2003 to December 30th 2008, a total of 1485 observations. Based on the exponential generalized autoregressive heteroskedasticity model(EGARCH), the evidence shows that there exits leverage and asymmetric effects for Korea stock markets, and the relative responses of country-specific shocks are varied. Moreover, our finding illustrates that Korea stock market would be more rely on either positive or negative shocks from the U.S. than from the Japan. In other words, our study is contrary to what decouplers would have expected.

오쿤의 법칙의 응용을 통한 실업률과 경제성장률과의 장기적 균형관계

제상영,김명준,강준규 한국자료분석학회 2013 Journal of the Korean Data Analysis Society Vol.15 No.1

본 연구는 1990년 1월부터 2011년 12월까지 우리나라의 월별 산업생산지수와 실업률 사이의 안정적인 음(-)의 상관관계의 존재여부를 확인하였다. 이 경험 법칙은 Okun의 법칙이라고 불린다. 본 연구에서는 실업률과 경제성장률사이의 관계를 확인하기 위하여 1계차분 모형과 GAP 모형을 이용하였다. 추정결과 산업생산지수와 실업률 사이의 음의 상관관계가 유지되는 것을 확인 할 수 있었다. 실업률과 실질생산량과의 관계가 시가변적 관계 또는 구조적 변화에 의존 할 수 있다는 사실에 근거하여 이 두 변수 사이의 시가변적 관계를 확인하였다. 시가변 파라미터를 고려한 1계차분 모형과 GAP 모형의 추정에서도 안정적인 음(-)의 관계가 존재하였다. 선행연구들과는 다르게 구조 변화 이후 오쿤의 계수값이 커짐을 확인하였다. 또한 외환위기와 같은 시장 충격이 존재하였을 때, 노동시장의 비대칭적 반응을 확인하였다. 확인 결과 구조 변화 이후에 비대칭성이 증가한 것을 확인하였다. This study exams Okun’s law for the South Korea using industrial production index and unemployment over the period 1990-2011. First difference model and GAP model are used to find the negative relation between industrial production and unemployment. Okun’ law is statistically valid each model but the estimates are sensitive to the choice of model. It is considered time-varying parameter model because there would be a time varying relationship between industrial production and unemployment. The empirical findings also show that Okun’s relationship undergoes a structural change in 1997. After this break, unemployment becomes more responsive to output changes which are different to advanced research.

Determinants of the Tourism Demand: An Application of Conditional Quantile Approach for the U.S.

제상영 한국자료분석학회 2012 Journal of the Korean Data Analysis Society Vol.14 No.2

This study examines relationship between economic factors, trip-related variables, and socio-demographic variables and visitor expenditures in the U.S. travelers using by conditional quantile specification. Using data from TNS during the 3rd quarter 2005, and conditional quantile specification, significant factors on visitor expenditures are all travel party member, number of nights spent on trip, and household income. Moreover even though marginal effects of household income on visitor expenditures are different through different expenditure level, then it has positive effect on visitor expenditures through different expenditure level. And visitor near the middle of the conditional expenditures are most sensitive to income changes. Our findings should i) be useful to many travel organizers and marketers for better understanding in the U.S., and ii) contribute towards a classification of the unclear effect that scale of economic factors have been found to have in previous studies of the tourism economics.

유종별 자동차 수요함수 추정

제상영 한국자료분석학회 2016 Journal of the Korean Data Analysis Society Vol.18 No.6

The purpose of this study is to estimate the demand function of important types of automobiles and to analyze the problem of income elasticity of consumption expenditure. Instead of estimating a fixed elasticity at every point through the existing linear model, we estimate the income elasticity of consumption expenditure over time. In other words, we estimate the demand function of automobiles by using time-varying regression model and empirical mode decomposition which estimates the long-run trend of income elasticity of consumption expenditure do. This study suggests important policy measures to improve market structure and price competition according to market logic and study the ways to improve the current petroleum product market structure of domestic transportation to improve the economic efficiency of domestic petroleum products market to maximize market efficiency. Thus this study aims to provide a basis for developing more effective pricing policies by identifying the interrelationships between petroleum products for domestic transportation. 본 연구는 기본적이고 중요한 유종별 자동차에 대한 수요함수를 추정하고, 소비자 지출 대비 소득탄력성을 시가변적, 즉 시간의 변화에 따른 소득탄력성의 변화를 추정하고자 한다. 즉, 시가변 회귀모형(time-varying regression model) 및 경험적 모드 분해법(empirical mode decomposition)을 이용하여 유종별 자동차에 대한 수요함수를 추정하고, 이와 함께 소비지출에 대한 소득 탄력성에 장기적 추세를 재추정하고자 한다. 이를 통해 시장구조의 개선 및 시장논리에 따른 가격경쟁을 촉진할 수 있는 중요한 정책수단을 제시하며, 현행 국내 수송용 석유제품시장 구조를 개선할 수 있는 방안을 연구함으로써 국내 석유제품 시장의 경제적 효율성을 고려하는 방안을 도출하고 그에 따른 시장 효율성 극대화 방안을 도출하고자 한다. 이러한 맥락에서 본 연구는 국내 수송용 석유 제품들 간의 상호관계를 규명함으로써 보다 효과적인 가격정책을 입안하기 위한 근거를 제시하고자 한다.

Forecasting Power Evaluation: Evidence from Stock Market

제상영 한국자료분석학회 2016 Journal of the Korean Data Analysis Society Vol.18 No.2

High dimensional matrix of financial time-series is typical task for sensible estimation. There are different models for same purpose, such as correlation models to create and evaluate portfolio dynamic conditional correlation (DCC) and dynamic equicorrelation (DECO). The primary purposes of this study are comparing the above models and reducing the volatility of estimation results. Estimation results on the basis of the two models using international crude oil price and same but different three countries’ stock price index data, we investigate the better performance of the time-varying conditional correlation including lower volatility in DECO model than DCC model. There are also, we show that DECO model perform better in the out-of-sample forecasting performance than DCC model.

국제 원유 충격과 주식시장의 반응

제상영,임재옥 한국자료분석학회 2011 Journal of the Korean Data Analysis Society Vol.13 No.5

This study exam the impacts of international oil price on Malaysia’s and Singapore’s economy as well as symmetrical and asymmetrical behavior on those country’s stock prices using by GJR-GARCH model and recursive asymmetrical model proposed by Bettendorf, Geest, Varkevisser(2003). Main findings are following as: First, since those countries have very different economy system, impacts of international oil price into those countries are very different. Asymmetrical impacts are appeared on consumer goods of durable goods and consumer service goods of non-durable goods. Moreover these asymmetrical impacts during financial crisis are bigger than that of before-crisis as time goes on. Second, durable goods have bigger asymmetrical behavior’s sensitivity and scales. These findings strongly and statistically overcome previous study’s limitation in terms of asymmetrical scale and sensitivity. 본 연구는 국제 유가충격에 대하여 말레이시아, 그리고 싱가포르의 산업별 주가수익률과 국제 원유 가격에 대한 대칭적(symmetric), 비대칭적(asymmetric) 효과를 분석하고자 하였다. 이를 위하여 GJR-GARCH 모형과 Bettendorf, Geest, Varkevisser (2003)시간 가변적 비대칭성 모형을 도입하였다. 주요 분석 결과는 다음과 같다. 첫째, 서로 다른 시장 구조를 가진 말레이시아와 싱가포르의 비대칭성은 산업별로 그 영향이 매우 다르게 나타났으며, 통계적으로 가장 크게 유의한 비대칭성이 존재하는 산업은 내구재 산업의 소비자 재화 산업과 비내구재 산업의 소비자 서비스 산업에서 나타나고 있다. 그리고 미국 발 금융위기 이후에 위기 이전보다 비대칭성이 커지고 있다. 둘째, 시간이 지남에 따라 비대칭성의 반응이 내구재 산업에서 더 민감하게 반응한다는 것을 알 수 있었다. 이는 기존의 연구들이 가지고 있는 한계점을 극복함을 보여주고 있다.

Incorporating a New Measure of Travel Cost for Estimating International Travel Demand

제상영 한국자료분석학회 2012 Journal of the Korean Data Analysis Society Vol.14 No.4

Most recent studies examines the international tourism demand by differentiating holiday travel into visiting friends and relatives, and business travellers, while using a new measure of travel costs for international tourists inbound to the U.S. As a new measure of travel costs, the ‘the zonal travel cost’ approach (USDA, 2000) for the measurement of travel costs is employed. The use of the zonal travel cost is a first for international travel literature. Based on this new measurement, this article examines international tourism demand for the United States (U.S.) by classifying travel demand according to the purpose of the trip and incorporating a new measure of travel costs and its determinants. Based on the pooled generalized least squares model, we find that the new measure of travel costs improves model accuracy. Second, we find that tourism demand elasticities vary by trip purpose. The latter finding is significant, as travel for business is more inelastic than tourism.