에너지경제연구 Korean Energy Economic Review Volume 9, Number 2, September 2010 : pp. 1~18 가격비대칭성검정모형민감도분석 1

< 표 1> ECM 을이용한선행연구 4

and 8

< 표 2> 오차수정모형 (ECM1~ECM4) 9

< 표 3> 민감도분석에쓰인더미변수 11

< 표 4> 민감도분석결과 : COIA 13

접수일 (2010 년 6 월 1 일 ), 수정일 (2010 년 8 월 20 일 ), 게재확정일 (2010 년 8 월 23 일 ) 14

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of Applied Statistics 36(4) : 385-397. Bettendorf, L. et al. 2003. Price asymmetry in the Dutch retail gasoline market. Energy Economics 25(6) : 669-689. Borenstein, S. et al. 1997. Do gasoline prices respond asymmetrically to crude oil price changes?. Quarterly Journal of Economics 112(1) : 305-339. Duffy-Deno, K. T. 1996. Retail price asymmetries in local gasoline markets. Energy Economics 18(1-2) : 81-92. Enders, W. and Siklos, P. L. 2001. Cointegration and Threshold Adjustment. Journal of Business & Economic Statistics 19(2) : 166-176. Frey, G. and M. Manera, Econometric Models of Asymmetric Price Transmission. Journal of Economic Surveys 21(2) : 349-415. Godby, R., et al. 2000. Testing for asymmetric pricing in the Canadian retail gasoline market. Energy Economics 22(3) : 349-368. Honarvar, A. 2009. Asymmetry in retail gasoline and crude oil price movements in the United States: An application of hidden cointegration technique. Energy Economics 31(3) : 395-402. Karrenbrock, J. D. 1991. The Behavior of Retail Gasoline Prices: Symemtric of Not?. Federal Reserve Bank of St. Louis Review 73(4) : 19-29. Kirchgässner, G. and Kübler, K. 1992. "Symmetric or asymmetric price adjustments in the oil market: An empirical analysis of the relations between international and domestic prices in the Federal Republic of Germany, 1972-1989." Energy Economics 14(3) : 171-185. Manning, D. 1991. Petrol prices, oil price rises and oil price falls: some evidence for the UK since 1972. Applied economics 23(9) : 1535-1541. Oh, S. 2006. Asymmetry and Market Power Analysis on Korean Petroleum Product Markets. Ph D.thesis. Seoul National University. Radchenko, S. 2005a. Oil price volatility and the asymmetric response of gasoline prices to oil price increases and decreases. Energy Economics 27(5) : 708-730. 16

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ABSTRACT Many studies about the asymmetry of petroleum products have been conducted. However, there are few studies which performed the study on the sensitivity test on various options related to model setting. In this study, I aimed to test the sensitivity on the results of price asymmetry test with the model structure. Four variables are considered such as data period, frequency, distribution reference, and methodology. Coefficients of the variables and F-statistics were obtained with total 90 models under the null hypothesis of symmetry assumption. Regression was conducted with the F-statistics as a dependent variable and the former four variables as dummy variables. As a results, I could find the statistical significance with some variables; distribution reference, period, and methodology. With the COIA (Cotemporaneous impact asymmetry), Korean retail gasoline price is adjusted more symmetrically with the Singapore product price than Dubai crude oil price. With the CUIA(cumulated impact asymmetry), significant price asymmetry was observed in the period of high oil prices (Jan.2001 to Sep.2009) compared with the whole period(jan.1997 to Sep.2009). In ECM model the result from the methodology of Bettendorf et al.(2003) tends to be more symmetric than the result from Borenstein et al.(1997). Key Words : Price Asymmetry, Petroleum Product Price, Sensitivity Analysis 18