The Journal of the Convergence on Culture Technology (문화기술의 융합)

The International Promotion Agency of Culture Technology (국제문화기술진흥원)
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Changes in Factors Affecting International Grain Prices

국제곡물가격에 영향을 미치는 요인의 변화

  • 최선규 (남서울대학교 대학원 경영학과) ;
  • 정헌용 (남서울대학교 경영학과)
  • Received : 2019.02.04
  • Accepted : 2019.04.08
  • Published : 2019.05.31
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Abstract

This study analyzed the effects of short-term interest rates, exchange rates and international oil prices on international grain prices using the EGARCH-GED model. The yield before one month of the international grain prices itself was found to have a significant effect on international grain prices for most periods. During the entire analysis period, none of the economic variables appeared to have a significant effect on international grain prices, whereas during the exchange fall period, only oil prices were shown to have a significant effect on international grain prices. In addition, during the pre-crisis period, interest rates, exchange rates and oil prices did not all have a significant effect, but during the post-crisis period only oil prices had a significant effect on international grain prices. It turns out that the factors affecting international grain prices are changing with the passage of time.

본 연구는 단기금리, 환율 및 국제유가가 국제곡물가격에 미치는 영향을 EGARCH-GED 모형을 이용하여 분석하였다. 국제곡물가격의 자체 이전 수익률 중 1개월 이전의 수익률은 대부분의 기간에서 국제곡물가격에 유의한 양의 영향을 미치는 것으로 나타났다. 전체분석기간에서는 환율만이 국제곡물가격에 유의한 영향을 미치는 것으로 나타났다. 환율상승기간에서는 경제변수 중 어느 것도 유의한 영향을 미치는 않는 것으로 나타난 반면, 환율하락기간에서는 유가만이 유의한 양의 영향을 미치는 것으로 나타났다. 그리고 금융위기 이전의 기간에서는 금리, 환율, 유가가 모두 유의한 영향을 미치지 않았으나, 금융위기 이후의 기간에서는 유가만 국제곡물가격에 유의한 영향을 미쳤다. 결국 국제곡물가격에 영향을 미치는 요인은 시간의 경과에 따라 변화되고 있는 것으로 나타났다.

Keywords

표 1. 기술통계량 Table 1. Descriptive Statistics

GJMGCK_2019_v5n2_183_t0001.png 이미지

표 2. 전체분석기간에서의 분석결과 Table 2. Results of analysis in the entire analysis period

GJMGCK_2019_v5n2_183_t0002.png 이미지

표 3. 환율상승기간에서의 분석결과 Table 3. Results of analysis in exchange rate rise period

GJMGCK_2019_v5n2_183_t0003.png 이미지

표 4. 환율하락기간에서의 분석결과 Table 4. Results of analysis in exchange rate fall period

GJMGCK_2019_v5n2_183_t0004.png 이미지

표 5. 금융위기이전 기간에서의 분석결과 Table 5. Results of analysis before the financial crisis

GJMGCK_2019_v5n2_183_t0005.png 이미지

표 6. 금융위기이후 기간에서의 분석결과 Table 6. Results of analysis after the financial crisis

GJMGCK_2019_v5n2_183_t0006.png 이미지

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