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분야
docxTheoretical Tool for Analysis
Research result
1) Determination of Global Oil Price
2) Determination of Won/USD Exchange Rate With Respect to Global Oil Price Change
3) The Impact of the Global Oil Price Fluctuations on Korean Economy
Prediction
Conclusion
Self-Feedback of Our Research
Reference
To see the relationship between exchange rate and oil price, we use econometrical methodology, multiple regression. Our regression model is this:
s_t=β_1+β_2 (m_t-m_t^* )+β_3 (y_t-y_t^* )+β_4 〖lroil〗_t+u_t
*Explanation about explanatory variable
s_t : Nominal exchange rate (USD/Won)
m_t-m_t^* : The U.S. money supply (m_t)relative to Korea money supply (m_t^*) at time t
y_t-y_t^* : The U.S. industrial production (y_t) relative to Korea industrial production (y_t^*) at time t
〖lroil〗_t : Natural log of real oil price at time t.(Dubai )
This model is made to see the role of oil price that has an effect on the value of the US. By seeing m_t-m_t^*, we expect that increase of relative money supply of the U.S. to Korea will cause depreciation of USD because the value of currency also follows the law of supply and demand so increase in USD money stock will depreciate the value of USD. By seeing y_t-y_t^*, we expect that increase of relative industrial production of the U.S., ceteris paribus, causes an increase in the demand for the U.S. goods, which results in an appreciation of USD relative to Won. Also, by seeing 〖lroil〗_t, We intuitively expected that increase of the real oil price will appreciate the value of USD with respect to Won. This intuition came from this : net importers of oil(Korea) need to purchase USD in the international currency market in order to pay for the imported oil. With those intuition, we expect that β_2>0, β_3
Kim Dong suk, 2011, KDI 현안분석-유가상승에 따른 경제적 부담 및 변화추이.
Radhames A., Andre V., 2010, oil price fluctuations and U.S. dollar exchange rates.
Shin Dong jun, 2011, 국제유가와 환율변화가 물가에 미치는 영향력.
Petronet, http://www.petronet.co.kr/
David K., Backus, Mario J., 2000, oil price and the terms of trade.
Robert A., Amano, Simon van Norden, 1998, exchange rates and oil price.
OECD, http://www.oecd.org/
OPEC, http://www.opec.org/
