유가충격의 요인별 분석 및 한국주식시장과의 관계 = Global Perspective : The factor analysis of oil price shocks and the relationship with Korean stock market

다국어 초록 (Multilingual Abstract)

This paper analyzes the effect of oil price shocks to the rates of stock returns of 9 industries including classifying the shocks into supply, demand, and market shock through structural VAR model. The findings are as follows. Firstly, some large-scale oil price shocks in the 2000s were attributable to demand and market shock. Secondly, the rates of stock returns of most industries in capital & consumer goods except for electricity and electrical equipment respond more sensitively from supply shock than from demand shock. Finally, the reason why the rates of stock returns per industry respond differently from oil price shocks is related with different transmission path(supply or demand) of oil price effect by industry.

참고문헌 (Reference)

1 서지용, "한국주식시장에 파급되는 국제유가의 위험에 관한 연구" 한국재무관리학회 24 (24): 75-106, 2007

2 Rodriguez,J.Rebeca, "impact of oil price shocks : Evidence from the industries of six OECD countries" 30 : 3095-3108, 2008

3 Hamilton,J.D, "What is an oil shock?"

4 Finn,M.G, "Variance properties of Solow's productivity residual and their and their cyclical implications" 19 : 1249-1281, 1995

5 Kilian,L., "The impact of oil price shocks on the U.S.stock market" 2007

6 Adelman,M.M, "The genie out of the bottle-world oil since 1970" MIT Press 1995

7 Lee,K., "On the dynamic effects of oil price shocks : a study using industry level data" 49 : 823-852, 2002

8 Faff,W.Robert, "Oil price risk and the Australian stock market" 4 : 69-87, 1999

9 Mork,K.A, "Oil and the macroeconomy when prices go up and down : an extension of Hamilton's results" 97 : 740-744, 1989

10 Herrera,A.M, "Oil Price Shocks, Inventories and Macroeconomic Dynamics" Michigan State University 2007

11 Pindyck,R.S., "Dynamic factor demands and the effects of energy price shocks" 73 : 1066-1079, 1983

12 Apergis,Nicholas,, "Do strurctural oil-market shocks affect stock prices?" 31 : 569-575, 2009