항공사 주가에 미치는 항공유 가격의 비대칭적 효과: 미국 5개 항공사에 대한 비선형 자기회귀시차지연(NARDL) 모형 분석을 중심으로

• 영문명: Asymmetric Effects of Jet Fuel Prices on the Stock Prices: A Focus on NARDL Model Analysis of Five U.S. Airlines
• 발행기관: 한국무역연구원
• 저자명: 정나리(Nari Jung) 남수중(Soojoong Nam)
• 간행물 정보: 『무역연구』제20권 제6호, 355~374쪽, 전체 20쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2024.12.31

국문 초록

Purpose - This study empirically analyzed the asymmetric effect of jet fuel prices on airline stock prices in the United States. Design/Methodology/Approach - The NARDL model by Shin et al. (2014) was applied to assess the impact of rising and falling jet fuel prices. Data from May 2007 to May 2024, including jet fuel prices, the industrial production index, and the real effective exchange rate, were used as explanatory variables. Stock prices from five US airlines served as dependent variables. Findings - Jet fuel prices significantly influenced the stock prices of all five US airlines. In the long term, rising and falling jet fuel prices negatively impacted airline stock prices, with results statistically significant at the 1% level. The effect was asymmetric; all airline stock prices fell with rising fuel prices, but responses to falling prices varied. Delta Air Lines, United Airlines, and Allegiant Air stocks declined with falling fuel prices, while Southwest Airlines and Hawaiian Airlines stocks rose. IPI positively affected airline stocks, significant at the 5% level. Exchange rates had a negative but inconsistent effect across airlines. The short-term Wald test revealed statistically significant asymmetry at the 10% level for LCCs, indicating LCCs are more sensitive to fuel price changes than FSCs. Research Implications - Airlines should hedge fuel costs to mitigate risks and diversify profits to counteract asymmetric price effects. LCCs, being more responsive to oil price fluctuations, must develop strategies tailored to this volatility.

목차

Ⅰ. 서론

Ⅱ. 선행 연구

Ⅲ. 연구모형 및 통계

Ⅳ. 실증분석 결과

Ⅴ. 결론

References

키워드

Asymmetric Effect Five US Airlines Jet Fuel Price NARDL Stock Prices

참고문헌

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• Journal of International Trade and Economic Development
• Economic Modelling
• Energy Policy
• Global Finance Journal
• Energy Economics
• Energy Economics
• Energy Economics
• Finance Research Letters
• The North American Journal of Economics and Finance
• Economic Modelling
• Journal of International Trade & Commerce
• Expert Systems with Applications
• Energy Economics
• Energy
• Global Finance Journal
• International Review of Economics & Finance
• International Review of Applied Economics
• Finance Research Letters
• The Quarterly Review of Economics and Finance
• The Quarterly Review of Economics and Finance
• Journal of Business Economics and Management
• Energy Economics
• Resources Policy
• International Review of Financial Analysis
• Journal of International Money and Finance
• The North American Journal of Economics and Finance
• Energy Economics
• Journal of Air Transport Management
• Journal of International Trade & Commerce
• Applied Energy
• Asia Pacific Management Review
• Journal of Asian Finance, Economics and Business
• International Review of Economics & Finance
• International Review of Financial Analysis
• Finance Research Letters
• International Review of Economics & Finance
• Journal of Air Transport Management
• Journal of Air Transport Management
• Journal of Air Transport Management
• Economic Modelling
• Energy Economics
• Energy Economics
• Energy Economics
• The Quarterly Review of Economics and Finance
• International Review of Economics & Finance
• Energy Economics
• Energy Economics
• International Review of Economics and Finance
• Economics Letters
• Department of Applied Economics, University of Cambridge
• Econometric Reviews
• Journal of Applied Econometrics
• Journal of the American Statistical Association
• Journal of International Money and Finance
• International Review of Economics & Finance
• Energy
• Festschrift in honor of Peter Schmidt: Econometric methods and applications
• Journal of International Trade & Commerce
• Journal of Futures Markets
• Energy Economics
• Energy Economics
• The North American Journal of Economics and Finance