에너지경제연구 Korean Energy Economic Review Volume 13, Number 2, September 2014 : pp. 71~101 국제에너지시장의편의수익연구 * 71
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< 표 1> 에너지시장의편의수익을분석한선행연구 75
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ln 79
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[ 그림 1] 북미석유시장의선 현물가격및재고 85
[ 그림 2] 유럽석유시장의선 현물가격및재고 [ 그림 3] 북미가스시장의선 현물가격및재고 86
< 표 2> IAB와콜옵션가치의기초통계 87
[ 그림 4] 북미석유시장의표준화된재고, IAB 및콜옵션가치 88
[ 그림 5] 유럽석유시장의표준화된재고, IAB 및콜옵션가치 [ 그림 6] 북미가스시장의표준화된재고, IAB 및콜옵션가치 89
< 표 3> 가설 1 에대한추정결과 : IAB 와재고간관계 90
< 표 4> 가설 1 에대한추정결과 : 콜옵션가치와재고간관계 91
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< 표 5> 가설 2에대한추정결과 : IAB와재고간관계 < 표 6> 가설 2 에대한추정결과 : 콜옵션가치와재고간관계 93
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접수일 (2014 년 6 월 13 일 ), 게재확정일 (2014 년 8 월 26 일 ) 97
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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