일본 석유시장의 수급구조와 원유ㆍ제품유 가격의 장기균형관계

Japan s Petroleum Market and Relationship among Prices of Crude Oil and Petroleum Products

This paper examines long run equilibrium relationship among prices of crude oil and three major petroleum products such as gasoline, kerosene, diesel in Japan. The analysis is based on Johansen cointegration test procedure of Vector AutoRegressive Error Correction Model. The multi-variate Johansen test result shows that there exist three pairs of long run equilibrium relationship between crude oil price and each of the three petroleum product prices. We found however no long run relationship among the three product prices. This is in sharp contrast to the result obtained by Asche, Gjolberg and Volker (2003) in which similar test procedures are applied to petroleum markets in Europe and America. The result from Japan s market suggests that demand factors are relatively strong in Japan s petroleum market, while the pertroleum markets are more supply-driven in Europe and America.