에너지경제연구 Korean Energy Economic Review Volume 11, Number 2, September 2012 : pp. 57~83 발전용유연탄가격과여타상품가격의 동조화현상에대한실증분석 57
58
59
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exp exp < 표 1> 일치도계수의유의수준별반응표면회귀식추정치 61
± ± 62
63
64
< 표 2> 분석대상상품및지수내역 65
< 표 3> 표본자료의기초통계량 : 상호연계성이없는상품 < 표 4> 표본자료의기초통계량 : 상호연계성이있는상품 66
67
[ 그림 1] 상승국면및하락국면분석 : 유연탄 < 표 5> 상승국면및하락국면요약 : 상호연계성이없는상품 < 표 6> 상승국면및하락국면요약 : 상호연계성이있는상품 68
< 표 7> 상관계수 : 상호연계성이없는상품 < 표 8> 상관계수 : 상호연계성이있는상품 69
< 표 9> 상관계수의유의수준 : 상호연계성이없는상품 70
< 표 10> 상관계수의유의수준 : 상호연계성이있는상품 < 표 11> 일치도계수 : 상호연계성이없는상품 71
< 표 12> 일치도계수 : 상호연계성이있는상품 72
< 표 13> 일치도계수의유의수준 : 상호연계성이없는상품 < 표 14> 일치도계수의유의수준 : 상호연계성이있는상품 73
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접수일 (2012 년 3 월 12 일 ), 게재확정일 (2012 년 4 월 30 일 ) Bry, G. and C. Boschan, 1971, Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, New York: National Bureau of Economic Research. Burns, A. and W. Mitchell, 1946, Measuring Business Cycles, NBER Studies in Business Cycles No.2, (New York: National Bureau of Economic Research). Cashin, P., J. McDermott and A. Scott, 1999, "The myth of comoving commodity prices," IMF Working Paper No. 169. Cashin, P., J. McDermott and A. Scott, 2002, "Booms and slumps in world commodity prices," Journal of Development Economics, 69, 277-296. Deb, P., P. Trivedi, and P. Varangis, 1996, "The excess co-movement of commodity prices reconsidered," Journal of Applied Econometrics 11, 275-91. Harding, D. and A. Pagan, 1999, "Dissecting the cycle," Melbourne Institute Working Paper No. 13/99, Melbourne: University of Melbourne. McDermott, C. and A. Scott, 2000, "Concordance in business cycles," IMF Working Paper No. 37. Pagan, A., 1999, "A framework for understanding bull and bear markets," mimeo, Canberra: Australian National University. Palaskas, T., 1993, "Market commodity prices: the implications of the co-movement and excess co-movement issue," in M. Nissanke and A. Hewitt (eds.), 75
Economic Crisis in Developing Countries: New Perspectives on Commodities, Trade and Finance, New York: Pinter, 89-103. Palaskas, T. and P. Varangis, 1991, "Is there excess co-movement of primary commodity prices?: A co-integration test," Working Paper Series No. 758, International Economics Department, Washington: World Bank. Pindyck, R. and J. Rotemberg, 1990, "The excess co-movement of commodity prices," Economic Journal 100, 1173-89. Trivedi, P., 1995, Tests of some hypotheses about the time series behavior of commodity prices, in G. Maddala, P. Phillips, and T. Srinivasan (eds.), Advances in Econometrics and Quantitative Economics: Essays in Honor of C. Rao, Oxford: Blackwell, 382-412. 76
[ 부록그림 1] 상승국면및하락국면분석 : 코코아 [ 부록그림 2] 상승국면및하락국면분석 : 구리 77
[ 부록그림 3] 상승국면및하락국면분석 : 면화 [ 부록그림 4] 상승국면및하락국면분석 : 목재 78
[ 부록그림 5] 상승국면및하락국면분석 : 소맥 [ 부록그림 6] 상승국면및하락국면분석 : 아연 79
[ 부록그림 7] 상승국면및하락국면분석 : 호주산유연탄 [ 부록그림 8] 상승국면및하락국면분석 : 인도네시아산천연가스 80
[ 부록그림 9] 상승국면및하락국면분석 : Brent 원유 [ 부록그림 10] 상승국면및하락국면분석 : Dubai 원유 81
[ 부록그림 11] 상승국면및하락국면분석 : WTI 원유 [ 부록그림 12] 상승국면및하락국면분석 : 우라늄 82
ABSTRACT Recently, international commodity markets are showing severe price fluctuations and comovement. This study empirically analyzes the comovement phenomenon using steam coal price and other major commodity prices. For this purpose, it tries to compare the empirical results from widely used correlation analysis and concordance analysis. An interesting finding is that the degrees of comovement among unrelated commodities vary depending on the periods analyzed. Key Words : Bituminous Coal Price, Correlation, Comovement JEL Codes : E32, Q41, Q43 83