VECM모형을 이용한 중국 중유 선물가격의 변동원인 분석

Abstract

This paper analyze the causes of fluctuations in the futures price of fuel oil in China by dividing them into domestic and foreign factors. In particular, this study aims to compare and analyze the impact level of the world’s three major crude oil futures markets on China’s fuel oil futures market. Design/Methodology/Approach This paper first identifies the long-term equilibrium relationship between Chinese fuel oil futures price and each influencing factor through Johansen’s cointegration test. It then analyzes the short-term relationship through the impulse response function and variance decomposition of prediction errors by setting up a VECM (Vector Error Correction Model) model. The variables used were China’s fuel oil futures price, crude oil imports, crude oil production, light oil production, WTI (West Texas Intermediate) crude oil futures price, Brent crude oil futures price and Dubai crude oil futures price. Data consisted of monthly statistical data from January 2006 to December 2019. Findings Based on cointegration test resuts, it was found that there is a long-term equilibrium relationship among the variables. As a result of variance decomposition analysis of the impact response function and prediction error, it was found that the light oil production in domestic factor has the greatest effect on China’s fuel oil futures price. In terms of foreign factors, Dubai crude oil futures price has the greatest effect on China’s fuel oil futures price. Research Implications China is seeking a stable import of energy resources through the systematization of the oil futures market, and furthermore, there seems to be an intention to enhance China’s influence in the international oil market. Like China, Korea mainly imports and consumes Middle Eastern crude oil, so these results will have certain implications for Korea.