국제원유시장의 장기기억속성에 관한 연구

국문 초록 (Abstract)

본 논문에서는 국제원유시장의 특성을 파악하기 위하여, Dubai 원유현물가격 변동성과 OPEC Basket 원유현물가격 변동성, 그리고 OPEC 원유생산 변동성과 전세계 원유생산 변동성에 대하여 지금까지 선행연구에서 이미 타당성을 인정받은 세 가지 실증 분석 방법인 수정 R/S 분석(modified R/S analysis)에 의한 Hurst 지수(Hurst exponent), V-통계량(V-statistic), 그리고 ARFIMA(Autoregressive Fractional Integration Moving Average)모형 검정방법을 모두 사용하여 장기 기억(long-term memory) 속성을 검정하였으며, 장기기억속성에 대한 분석은 동일 시장에 대해서도 분석 기간이나 시기에 따라 결과가 다를 수 있으므로, 국제원유시장에 대한 객관적인 비교를 위해 분석 기간을 1991년 1월부터 2008년 7월까지 같은 기간으로 설정함으로써 기간이나 시기의 변화에 따른 차이점을 배제하였다. 또한, 시간척도 r에 대하여 r=1,2,3.…, 10까지로 하여 시간척도의 변화에 따른 장기기억속성의 변화까지 검정한 결과, 국제원유시장에는 시간척도 r가 3≤r≥10일때 장기기억속성이 존재함을 알 수 있었다.

다국어 초록 (Multilingual Abstract)

The studies until now are concluding in stock market follows random walk process by rational expectation hypothesis and efficient market hypothesis developing a lot of probability models.
However, random walk process in market has a lot of questions actually.
The main objective of this paper is to test existence of the long-term memory in world Oil Markets.
We examine the long memory properties in the oil spot prices fluctuation and oil production fluctuation using the modified R/S analysis, V-statistic, and ARFIMA(autoregressive fractional integration moving average).
For this purpose we investigate the statistical properties of data for the period (1991.1.-2008.7.) in monthly frequency.
We found that the world oil markets exhibits the long memory process of the oil spot prices fluctuation and oil production fluctuation.
In conclusions, this paper shows existence of the long-term memory in world oil markets.

목차 (Table of Contents)

• 요약
• Ⅰ. 서론
• Ⅱ. 장기기억속성 검정에 대한 이론적 고찰
• Ⅲ. 실증분석
• Ⅳ. 결론
• 참고문헌
• ABSTRACT

참고문헌 (Reference)

1 "통계청"

2 "에너지경제연구원"

3 김명직, "금융시계열분석" 경문사 2002

4 Perron,P, "Trends and Random Walks in Macroeconomic Time Series" 12 : 297-332, 1988

5 Phillips,P.C.B, "Time Series Regression With a Unit Root" 55 : 277-301, 1987

6 Geweke, J, "The Estimation and Application of Long MemoryTime Series Models" 4 : 221-238, 1983

7 Fama. E, "The Behavior of Stock Market Prices" 38 : 34-105, 1965

8 Phillips, P. C. B, "Testing for a Unit Root in Time SeriesRegression" 75 (75): 335-346, 1988

9 Said, E, "Testing for Unit Roots in Autoregressive MovingAverage Models of Unknown Order" 71 : 599-607, 1984

10 Alvarez-Ramirez, Jose, "Short-TermPredictability of Crude Oil Markets : A Detrended Fluctuation Analysis Approach" 30 (30): 2645-2656, 2008

11 Muth,J.F, "Rational Expectations and the Theory of Price Movements" 29 (29): 315-335, 1961

12 Peng, C. K, "Mosaic Organization of DNA Nucleotide" E (E): 1685-1694, 1994

13 Hosking,J.R.M, "Modelling Persistence in Hydrological Time Series Using FractionalDifferencing" 20 : 1898-1908, 1984

14 Matteo, T. D, "Long-term Memories ofDeveloped and Emerging Markets : using the Scaling Analysis to Characterizetheir Stage of Development" 29 : 827-851, 2005

15 Lo, Andrew, W, "Long-Term Memory in Stock Market Price" 59 (59): 1279-1313, 1991

16 Hurst, H. E, "Long Term Storage Capacity of Reservoirs" 116 : 770-799, 1951

17 Barkoulas, J. T, "Long Memory in the GreekStock Market" 10 (10): 177-184, 2000

18 Elder, J, "Long Memory in Energy Futures Prices" 17 (17): 146-155, 2008

19 Baillie,R.T, "Long Memory Processes and Fractional Integration in Econometrics" 73 (73): 5-59, 1996

20 Hosking,J.R.M, "Fractional Differencing" 68 : 65-176, 1981

21 MacKinnon, J. G, "Critical Values for Cointegration Tests in Long-runEconomic Relationships : Readings in Cointegration" Oxford University Press 1991

22 Peters,Edgar.E, "Chaos and Order in the Capital Markets" John Wiley and Sons, Inc. 1991

23 Brunetti, Celso, "Bivariate FIGARCH and FractionalCointegration" 7 (7): 509-530, 2000

24 Granger-Joyeux, "An Introduction to Long Memory Time Series Models andFractional Differencing" 1 : 15-39, 1980

25 Newey, W, "A Simple, Positive Semi-Definite, Heteroscedasticity andAutocorrelation Consistent covariance Matrix"