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국제유가와 중국 물가의 관계에 장기기억 특성
Long Memory of Relation between Oil Price and China Price
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- 발행기관
- 부산대학교 중국전략연구소(구 부산대학교 중국연구소) 바로가기
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- 간행물
- Journal of China Studies KCI 등재후보 KCI 등재 바로가기
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- 통권
- 제21권 3호 (2018.09)바로가기
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- 페이지
- pp.1-17
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- 저자
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- 언어
- 한국어(KOR)
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- URL
- https://www.earticle.net/Article/A338919
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5,100원
원문정보
초록
- 영어
- In this study, the fractional cointegration approach was implemented considering long memory of the relationship between petroleum price and China’s price. Considering information on the long-run stable relationship, the error correction model was used to analyze the short-run dynamics. The frequency domain Granger causality analysis was performed to identify the sequence of variables. As a result, we can confirm the cointegration relation between the oil price and the China’s price. In general, cost side factors such as oil prices are known to have a short-run impact on prices, but the long-term relationship between oil prices and prices has been proved by the discovery of long-term memory characteristics. This suggests that the existence of long-term memory between oil prices and prices offers considerable implications for analyzing China's price response to oil price fluctuations. The adjustment process can take a considerable amount of time when an imbalance occurs due to a temporary shock. The error correction model was estimated using information on the long-run equilibrium relationship between oil prices and prices. The adjustment process took about one year, and indirect evidence of long-run memory was found. In the error-correction model, oil price fluctuations are positively correlated with price fluctuations, but their effects are relatively small compared with the long-run equilibrium relationship. As a result of the Grange causality test in the frequency domain, it can be confirmed that the oil price has causality to the wholesale price index throughout the frequency, but the wholesale price index of China does not have causality to the oil price. This reflects reality. China is expanding its influence as a major consumer in the oil market, but prices are not enough to make a significant impact on crude oil prices. On the other hand, it can be seen that oil price is a useful parameter for predicting China's wholesale price index regardless of short and long term. To ease inflationary pressures on oil price shocks, Chinese authorities will need to eliminate unnecessary price regulation and improve market structure and price delivery systems. Market - friendly economic structures and flexible price mechanisms can cushion inflation by improving the adjustment mechanism for oil price shocks.
목차
Abstract
1. 서론
2. 분석모형
2.1 ARFIMA 모형과 분수공적분
2.2 효율적인 장기균형관계 추정방법
2.3 진동수영역에서 인과성 분석
3. 자료 분석 및 실증결과
3.1 자료
3.2 분석결과
4. 결론
참고문헌
키워드
Oil Price Long Memory Error Correction Model Frequency Domain Causality저자
간행물 정보
발행기관
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- 발행기관명
- 부산대학교 중국전략연구소(구 부산대학교 중국연구소) [Institute of China Strategy]
- 설립연도
- 2006
- 분야
- 사회과학>사회복지학
- 소개
- 본 연구소의 설립을 통해 우선 한중 양국 국민의 상호이해와 교류증진을 위한 인문, 사회과학적인 연구는 물론이고, 이를 통해 기업(인)이 중국에 안정적인 정착과 교류를 할 수 있는 각종 환경을 조성하고자 한다. 게다가 본 연구소는 기존의 연구소의 기능과는 달리 단순한 학술 교류에 머물지 않고 인적 교류를 통해 양국관계의 이해를 증진하고 나아가 한국과 중국의 각종 프로젝트를 적극 유치, 개발함으로써 지속적으로 재원의 창출을 도모하고자 한다.
간행물
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- 간행물명
- Journal of China Studies
- 간기
- 계간
- pISSN
- 1975-5902
- eISSN
- 3022-5590
- 수록기간
- 2006~2026
- 등재여부
- KCI 등재
- 십진분류
- KDC 912 DDC 951
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