국제유가 변동요인의 특성에 관한 연구

Determinants of Oil Price: Going Beyond the Traditional Factors

Many events related to oil price movements have occurred since the advent of oil ETFs in April 2006. These events include speculative demand for crude oil in expectation of a further rise in oil prices before the global financial crisis in 2008, a sharp decline of oil prices right after the crisis, poor demand for oil from emerging markets as well as the production of shale gas and shale oil to replace traditional energy sources. This study focuses on analyzing the driving factors of oil price movements based on monthly macro-economic data from the Bloomberg database from May 2006 to April 2014. Results show that oil price movements were dominated by speculative demand in the oil futures market during rising oil price. However, the U.S. dollar and consumer prices in the U.S. determined the price of oil during periods of stability. In addition, the oil ETF has not yet become a determinant of oil price. Results of this study will be helpful to investors doing portfolio management as well as in the cost management of companies and in the economic policy planning efforts of governments since oil price forecasting based on the true determinants will become possible.