Geosystem Engineering

  • 제21권6호
  • /
  • Pages.297-308
  • /
  • 2018
  • /
  • 1226-9328(pISSN)
  • /
  • 2166-3394(eISSN)
한국자원공학회 (The Korean Society of Mineral and Energy Resources Engineers)
권호 표지
DOI QR코드

DOI QR Code

The effect of international oil price on LNG price in South Korea and Japan

  • 투고 : 2017.11.02
  • 심사 : 2017.12.28
  • 발행 : 2018.12.31
⟨ 이전 논문 다음 논문 ⟩

초록

In this paper, we investigate the differences between LNG price of South Korea and Japan. Although S. Korean and Japanese LNG markets have similar structures, there are some differences in the price formation. From DCC-MGARCH, we confirm that Japan LNG price have less persistence of disturbance on time than S. Korean LNG price. The conditional correlation also shows linkage effects between LNG prices and impacts of S-curve and DS-curve. Moreover, ARDL estimation result shows that there is co-integration in all models and that impacts of Fukushima accident and LNG volumes are responsible for the increase in Japanese LNG price. Also, adjustment speed of error correction term shows that Japan's deviation from long-run equilibrium disappears faster than S. Korea does, indicating relatively strong Japanese linkage between LNG price and oil price.

키워드

과제정보

연구 과제 주관 기관 : Dankook University

참고문헌

  1. Agerton, M. (2015). Global LNG pricing terms and revisions: An empirical analysis.
  2. Brigida, M. (2014). The switching relationship between natural gas and crude oil prices. Energy Economics, 43, 48-55. https://doi.org/10.1016/j.eneco.2014.01.014
  3. British Petroleum. (2017). BP Statistical review of world energy 2016. London: BP. https://www.bp.com/en/global/corporate/energy-economics/statistical-review-of-world-energy.html.
  4. Brown, R. L., Durbin, J., & Evans, J. M. (1975). Techniques for testing the constancy of regression relationships over time. Journal of the Royal Statistical Society. Series B (Methodological), 149-192.
  5. Engle, R. (2002). Dynamic conditional correlation. Journal of Business and Economic Statistics, 20(3), 339-350. https://doi.org/10.1198/073500102288618487
  6. Engle, R. F., & Granger, C. W. (1987). Co-integration and error correction: Representation, estimation, and testing. Econometrica: Journal of the Econometric Society, 251-276.
  7. Erdős, P., & Ormos, M. (2012). Natural gas prices on three continents. Energies, 5(12), 4040-4056. https://doi.org/10.3390/en5104040
  8. Ghouri, S. S. (2006). Forecasting natural gas prices using cointegration technique. OPEC Review, 30(4), 249-269. https://doi.org/10.1111/j.1468-0076.2006.00171.x
  9. Han, W., & Cho, H. C. (2015). Estimation of Korean LNG price allowing a structural change. Environmental and Resource Economics Review, 24(4), 679-708. https://doi.org/10.15266/KEREA.2015.24.4.679
  10. Hwang, K., Kim, J., Hwang, Y., & Heo, E. (2012). Decoupling of international natural gas prices from crude oil prices. The Korean Society of Mineral and Energy Resources Engineers, 49(3), 338-349.
  11. Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control, 12, 231-254. https://doi.org/10.1016/0165-1889(88)90041-3
  12. Johansen, S., & Juselius, K. (1990). Maximum likelihood estimation and inference on co-integration - With applications to the demand for money. Oxford Bulletin of Economics & Statistics, 52, 169-210.
  13. Kong, Z., Dong, X., & Zhou, Z. (2015). Seasonal imbalances in natural gas imports in major northeast Asian countries: Variations, reasons, outlooks and countermeasures. Sustainability, 7(2), 1690-1711. https://doi.org/10.3390/su7021690
  14. Kwiatkowski, D., Phillips, P. C., Schmidt, P., & Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root Journal of Econometrics, 54(1-3), 159-178. https://doi.org/10.1016/0304-4076(92)90104-Y
  15. Miki, T., & Misao, E. (2013). Factors to reinforce bargaining power in LNG trading and formation of LNG futures market. Central Research Institute of Electric Power Industry Y12006, 1-34.
  16. Orskaug, E. (2009). Multivariate DCC-GARCH model: With various error distributions (Master's thesis). Institutt for matematiske fag.
  17. Pesaran, M. H., & Shin, Y. (1998). An autoregressive distributed-lag modelling approach to co-integration analysis. Econometric Society Monographs, 31, 371-413.
  18. Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16, 289-326. https://doi.org/10.1002/jae.616
  19. Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. https://doi.org/10.1093/biomet/75.2.335
  20. Li R., Joyeux R., Ripple R. D. (2014). International natural gas market integration. The Energy Journal, 35(4).