국제유가 변동요인의 특성에 관한 연구

Abstract

Many events related to oil price movements have occurred since the advent of oil ETFs inApril 2006. These events include speculative demand for crude oil in expectation of a furtherrise in oil prices before the global financial crisis in 2008, a sharp decline of oil prices rightafter the crisis, poor demand for oil from emerging markets as well as the production ofshale gas and shale oil to replace traditional energy sources. This study focuses on analyzing the driving factors of oil price movements based onmonthly macro-economic data from the Bloomberg database from May 2006 to April 2014. Results show that oil price movements were dominated by speculative demand in the oilfutures market during rising oil price. However, the U.S. dollar and consumer prices in theU.S. determined the price of oil during periods of stability. In addition, the oil ETF has notyet become a determinant of oil price. Results of this study will be helpful to investors doing portfolio management as well as inthe cost management of companies and in the economic policy planning efforts ofgovernments since oil price forecasting based on the true determinants will become possible.