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인석 국
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1 에너지경제연구 Korean Energy Economic Review Volume 13, Number 2, September 2014 : pp. 71~101 국제에너지시장의편의수익연구 * 71

2 72

3 73

4 74

5 < 표 1> 에너지시장의편의수익을분석한선행연구 75

6 76

7 77

8 78

9 ln 79

10 80

11 81

12 82

13 83

14 84

15 [ 그림 1] 북미석유시장의선 현물가격및재고 85

16 [ 그림 2] 유럽석유시장의선 현물가격및재고 [ 그림 3] 북미가스시장의선 현물가격및재고 86

17 < 표 2> IAB와콜옵션가치의기초통계 87

18 [ 그림 4] 북미석유시장의표준화된재고, IAB 및콜옵션가치 88

19 [ 그림 5] 유럽석유시장의표준화된재고, IAB 및콜옵션가치 [ 그림 6] 북미가스시장의표준화된재고, IAB 및콜옵션가치 89

20 < 표 3> 가설 1 에대한추정결과 : IAB 와재고간관계 90

21 < 표 4> 가설 1 에대한추정결과 : 콜옵션가치와재고간관계 91

22 92

23 < 표 5> 가설 2에대한추정결과 : IAB와재고간관계 < 표 6> 가설 2 에대한추정결과 : 콜옵션가치와재고간관계 93

24 94

25 95

26 96

27 접수일 (2014 년 6 월 13 일 ), 게재확정일 (2014 년 8 월 26 일 ) 97

28 . 2014,.., (2): , , , : OPEC.., (4): , , (3): Bentzen, J Does OPEC influence crude oil prices? Testing for co-movements and causality between regional crude oil prices. Applied Economics 39(11): Black, F. and Sholes, M The pricing of options and corporate liabilities. Journal of Political Economy 81(3): Bodie, Z., Kane, A. and Marcus, A Investments. McGraw-Hill. Brennan, M. J The supply of storage. The American Economic Review 48(1): Chen, T-F., Lin, M-I. and Wang, K The Information Content of the Implied Convenience Yield: Using Copula Based American GARCH Call Option Pricing Model. Working Paper. Cho, D. W. and McDougall, G. S The supply of storage in energy futures markets. The Journal of Futures Markets 10(6): Considine, T. J. and Heo, E Price and inventory dynamics in petroleum product 98

29 markets. Energy Economics 22(5): Energy Charter Secretariat Putting a Price on Energy. Fama, E. F Efficient capital markets: A review of theory and empirical work. The Journal of Finance 25(2): Fama, E. F. and French, K. R Commodity futures prices: some evidence on forecast power, premiums, and the theory of storage. The Journal of Business, 60(1): Fama, E. F. and French, K. R Business cycles and the behavior of metals prices. The Journal of Finance, 43(5): Fattouh, B WTI Benchmark Temporarily Breaks Down: Is It Really a Big Deal?. Oxford Institute for Energy Studies. Gao, A. H. and Wang, G. H. K Asymmetric volatility of basis and the theory of storage. The Journal of Future Markets 25(4): Gary, R. W. and Peck, A. E The chicago wheat futures market: Recent Problems in Historical Perspective. Food Research Institute Studies 18(1): Geman, H. and Nguyen, V Soybean inventory and forward curve dynamics. Management Science 51(7): Geman, H. and Ohana, S Forward curves, scarcity and price volatility in oil and natural gas markets. Energy Economics 31(4): Heinkel, R., Howe, M. E. and Hughes J. S Commodity convenience yields as an option profit. The Journal of Futures Markets 10(5): Hochradl, M. and Rammerstorfer, M The convenience yield implied in European natural gas hub trading. The Journal of Futures Markets 32(5): Hotelling, H The economics of exhaustible resources. The Journal of Political Economy 39(2): Kaldor, N Speculation and economic stability. The Review of Economic Studies 7(1): Kim, J., Kim J. and Heo, E Evolution of the international crude oil market mechanism. Geosystem Engineering 16(4):

30 Kocagil, A. E Optionality and daily dynamics of convenience yield behavior: An Empirical Analysis. Journal of Financial Research 27(1): Kucher, O. and Kurov A Energy Commodity Basis, Returns and the Business Cycle. 31 st USAEE/IAEE North American Conference(Nov. 4-7, Austin, Texas). Lautier, D Convenience yield and commodity markets. Working Paper. Lin, W. T. and Duan, C Oil convenience yields estimated under demand/supply shock. Review of Quantitative Finance and Accounting 28(2): Milonas, N. T. and Henker, T Price spread and convenience yield behavior in the international oil market. Applied Financial Economics 11(1): Milonas N. T. and Thomadakis, S. B Convenience yields as call options: An empirical analysis. The Journal of Futures Markets 17(1): Roy, A Convenience yields modelling as call options: Indian wheat market. Working Paper. Symeonidis, L., Prokopczuk, M. Brooks, C. and Lazar, E Futures basis, inventory and commodity price volatility: An empirical analysis. Economic Modelling 29(6): Telser, L. G Futures trading and the storage of cotton and wheat. The Journal of Political Economy 66(3): West, J Convenience yields in bulk commodities: The case of thermal coal. The International Journal of Business and Finance Research 6(4): Working, H Theory of the inverse carrying charge in futures markets. Journal of Farm Economics 30(1): Working, H The theory of price of storage. The American Economic Review 39(6): Zulauf, C. R., Zhou, H., and Roberts, M. C Updating the estimation of the supply of storage. The Journal of Futures Markets 26(7): , Energy Information Administration, 100

31 ABSTRACT This study investigates convenience yield which is one of the primary factors explaining changes in energy markets. This study analyzes the convenience yields in Northern American oil market, European oil market, and Northern American natural gas market from January 2000 to July 2013 and tests the following two hypotheses. The first hypothesis is that convenience yield is inversely proportional to inventory. The empirical results support the first hypothesis when the convenience yield is approximated by the interest adjusted basis(iab). On the other hand, they do not support the first hypothesis when the convenience yield is approximated by the call-option value. The second hypothesis is that convenience yield is approximated by call-option value better than IAB. The empirical results do not support this hypothesis. Key Words : Convenience Yield, Energy Market, Interest Adjusted Basis, Call-option Value JEL Codes : Q3, G1, C5 101

에너지경제연구 Korean Energy Economic Review Volume 11, Number 2, September 2012 : pp. 1~26 실물옵션을이용한해상풍력실증단지 사업의경제성평가 1

에너지경제연구 Korean Energy Economic Review Volume 11, Number 2, September 2012 : pp. 1~26 실물옵션을이용한해상풍력실증단지 사업의경제성평가 1 2 3 4 5 6 ln ln 7 8 9 [ 그림 1] 해상풍력단지건설로드맵 10 11 12 13 < 표 1> 회귀분석결과 14 < 표 2> 미래현금흐름추정결과