아시아 LNG 가격의 최적 헤지비율 추정 및 헤지효과 분석

• 영문명: Estimating the Optimal Hedge Ratio and the Hedge Effectiveness of LNG Contracts in Asia
• 발행기관: 한국무역연구원
• 저자명: 정회진(Hoe-Jin Jeong)
• 간행물 정보: 『무역연구』제18권 제1호, 267~282쪽, 전체 16쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2022.02.28

영문 초록

Purpose This study examines the effectiveness of hedging Japan/Korea Marker (JKM) markets by estimating the optimal minimum variance hedge ratio with various models. Design/Methodology/Approach In this study, the LNG Japan/Korea Marker (JKM), which is published by Platts, was used over the period of January 02, 2014 to July 12, 2019. Both constant and dynamic hedge ratios were found using various methods including OLS, VECM, BEKK-GARCH, and the MRS model. Estimated hedge ratios through an out-of-sample analysis were evaluated through hedge effectiveness (HE). Findings Basically, the empirical results indicate that hedging effectiveness seems low in both the in-sample and out-of-sample periods. The OLS model slightly outperforms time-variant models, but generally there is no significant gap between models. It is worth noting that although OLS, VECM and BEKK-GARCH models hold relatively stable outcomes in both horizons, the MRS model experiences a large gap between 14.85% and 5.90%. Research Implications The results do not show a high hedging effectiveness for several reasons. However, considering most of studies on this issue focus on popular gas indices such as NBP, TTF and HH, this study makes a valuable contribution to the research of Asian LNG markets by comparing various hedging models for the first time.

목차

Ⅰ. 서론

Ⅱ. 선행연구

Ⅲ. 연구방법론

Ⅳ. 실증분석

Ⅴ. 결론

키워드

Hedge Effectiveness JKM Optimal Hedge Ratio