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Productivity Analysis of Oil Industry Using Portfolio Theory : 포트폴리오 이론을 통한 석유산업 생산성 분석

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dc.contributor.advisor이종수-
dc.contributor.author임찬수-
dc.date.accessioned2019-10-21T02:29:19Z-
dc.date.available2019-10-21T02:29:19Z-
dc.date.issued2019-08-
dc.identifier.other000000157980-
dc.identifier.urihttps://hdl.handle.net/10371/162030-
dc.identifier.urihttp://dcollection.snu.ac.kr/common/orgView/000000157980ko_KR
dc.description학위논문(박사)--서울대학교 대학원 :공과대학 협동과정 기술경영·경제·정책전공,2019. 8. 이종수.-
dc.description.abstractThis study applies portfolio theory based on international price data on crude oil and petroleum products (naphtha, gasoline, kerosene, diesel and heavy oil) from 2005 to 2016. The efficient frontier of petroleum products during the period is derived. The efficient frontier of the petroleum product is used to calculate the point at which their profitability of the petroleum products is minimized as well as the mix of petroleum product production at that time.

Applying the efficient frontier of petroleum products, the profit stability of individual crude oil is analyzed using the characteristics data of crude oil such as distillation property, API (American Petroleum Institue) Indicator, and sulfur content. A linear model is constructed using profit stability as the dependent variable and the API and sulfur content as the explanatory variables. The API also is found to have a negative impact on the profit stability of crude oil; wheras the sulfur content has a positive effect. A method is proposed through portfolio theory to assess the economics of individual crude oil and the factors affecting it quantitatively.

The LNG industry in Korea is dominated by KOGAS (Korea Gas Corporation), the state-run public corporation, in the wholesale LNG market. Korean government is responsible for all the risks of the LNG industry and guarantees appropriate profits for KOGAS. In other words, the LNG industry can be treated the same as the risk-free assets in the financial asset market at the Korean national level. Therefore, by introducing the LNG industry, which is a risk-free asset, to the efficient frontier of petroleum product derived from the above, a new optimal efficient frontier of petroleum products is derived. Expanding the LNG business, which is a risk-free asset, a new efficient frontier can thus be derived, maximizing the profitability of petroleum products in the domestic market or minimizing volatility.

Finally the efficiency of the oil refining industry using portfolio theory and panel data analysis of 30 OECD countries from 2005 to 2015 is investigated. The oil refining industrys efficiency is derived from the prices of petroleum products using the portfolio theory. The panel data are constructed using crude oil production efficiency, energy consumption, renewable energy consumption, and R&D investment as the dependent variables,. The factors affecting the efficiency of the oil refining industry are analyzed using generalized least squaress, between effects, fixed effects, random effects, least squares dummy variable, and dynamic panel models. The results show that crude oil production and energy use in OECD countries have a negative effect on the efficiency of the oil refining industry, whereas the consumption of new and renewable energy and R&D investment have a positive effect.
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dc.description.abstract본 연구는 원유와 석유제품의 2005년부터 2016년까지 국제가격을 바탕으로 포트폴리오 이론을 적용하여, 해당기간 동안의 석유제품 최적 생산가능곡선을 도출하였다. 도출된 석유제품 최적 생산가능곡선을 통해 석유제품 생산 시, 수익 변동성이 최소가 되는 지점과 그때의 석유제품 생산 비율을 계산하였다. 이를 통해 해당 기간의 석유제품 생산에 대한 최적믹스를 제안하였다.

다음 증류성상, API도 및 황함량 등의 원유의 특성 데이터와 앞에서 도출한 석유제품 최적 생산가능곡선을 통해 개별 원유의 수익 안정성을 도출하였다. 도출된 수익 안정성을 종속변수로 하고, API도와 황함량을 설명변수로 한 선형모형을 구축하여 그 영향력을 검정하였다. API도는 원유의 수익안정성에 음의 영향을 주고, 황함량은 양의 영향을 주는 것으로 나타났다. 포트폴리오 이론을 통해 개별 원유의 경제성과 이에 영향을 주는 요인을 정량적으로 평가할 수 있는 방법을 제안한다.

한국의 경우, LNG (Liquefied Natural Gas) 산업은 정부가 산업의 위험성을 모두 담보하고 적정한 이윤을 보장하는 공기업 형태로 운영하고 있다. 즉, LNG 산업은 국가단위에서 금융자산시장에서의 무위험 자산과 동일하게 취급할 수 있다. 따라서 앞에서 도출한 석유제품 최적 생산가능곡선에 무위험 자산인 LNG 산업을 도입하면, 새로운 최적생산가능 곡선을 도출할 수 있다. 무위험 자산인 LNG 사업을 확대함으로써 새로운 최적생산가능 곡선을 도출하고, 이를 통해 국내 시장에서 석유제품의 이익을 극대화하거나 변동성을 최소화할 수 있다.

마지막으로 2005 년부터 2015 년까지 약 30 개 OECD 국가의 패널 데이터 분석을 사용하여 정유 업계의 효율성을 조사하였다. 정유산업의 효율성은 포트폴리오 최적화 이론을 적용한 석유제품 최적 생산가능곡선으로부터의 거리를 기준으로 설정하였다. 패널 데이터는 OECD 국가별 정유산업 효율성을 종속변수로 하고, 원유 생산량, 에너지 소비량, 재생 에너지 소비량 및 R&D 투자비를 설명변수로 구성하였다. 구축된 패널테이터는 패널GLS, 고정효과 (Fixed Effect), 확률효과(Random Effect) 및 동적패널(Dynamic Panel) 모형을 사용하여 분석하였다. 그 결과 OECD 국가의 경우, 원유 생산과 에너지 사용은 정유 산업의 효율성에 부정적인 영향을 미치고 있으며, 신재생 에너지 및 R&D 투자의 소비는 정유산업의 효율성에 긍정적 효과를 나타내고 있다.
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dc.description.tableofcontentsChapter 1. Introduction 1
1.1 Overview of Oil Industry 1
1.2 Research Objectives 11

Chapter 2. Literature Review 14
2.1 Portfolio Theory 14
2.1.1 Introduction to Portfolio Theory 14
2.1.2 Portfolios Expected Return and Risk 15
2.1.3 Efficient Frontier and Portfolio Selection 19
2.1.4 Capital Asset Pricing Model 26
2.2 Research on Productivity Analysis 27
2.2.1 Conventional Productivity Analysis 27
2.2.2 Productivity Analysis for Oil Industry 28
2.2.3 Applying Portfolio Theory to Financial Market 30
2.2.4 Applying Portfolio Theory to Energy Industry 31

Chapter 3. Methodology 34
3.1 Methodology Framework 34
3.1.1 Application of Portfolio Theory to Oil Industry 34
3.1.2 Panel Data Analysis 35

Chapter 4. Case Studies 40
4.1 Case Study 1: Analysis of Oil Industrys Efficient Frontier 40
4.1.1 Research Model 40
4.1.2 Research Data 40
4.1.3 Portfolio Efficient Frontier of Petroleum Products 42
4.1.4 Efficient Frontier of Petroleum Products with Production Cost 47
4.1.5 Efficient Frontier of Petroleum Products under Constrained Conditions 51
4.1.6 Conclusion and Discussion 53
4.2 Case Study 2: Analysis Crude Oils Profit Stabilty 55
4.2.1 Overview of Crude Oil 55
4.2.2 Research Data 62
4.2.3 Research Model and Analysis 67
4.2.4 Conclusion and Discussion 70
4.3 Case Study 3: Analysis of LNG Industry as a Risk-Free Asset 72
4.3.1 LNG Industry as a Risk-Free Asset 72
4.3.2 Research Data 76
4.3.3 Research Model and Analysis 77
4.3.4 Conclusion and Discussion 82
4.4 Case Study 4: Analysis of the Efficiency of the Oil Refining Industry in the OECD Countries 84
4.4.1 Research Model 84
4.4.2 Research Data 86
4.4.3 Panel Data Analysis 90
4.4.4 Conclusion and Discussion 101

Chapter 5. Concluding Remarks 104

Bibliography 111

Appendix 1: Crude Oils Distillation Composition and Physical Properties 118
Appendix 2: Crude Oils Profit Stability by Petroleum Product Spreads Efficient Frontier (2005-2016) 131
Appendix 3: Statistical Test for Portfolio Efficiency Index 145
Appendix 4: OECD 30 Countries Domestic Petroleum Products Production (Crude Oil Refining) Ratios (From 2005 to 2015) 147
Appendix 5: OECD 30 Countries Portfolio Efficiency Index 158
Appendix 6: Selection of Explanatory Variables for Panel Data Analysis 160

Abstract (Korean) 165
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dc.language.isoeng-
dc.publisher서울대학교 대학원-
dc.subjectPortfolio Theory-
dc.subjectEfficient Frontier-
dc.subjectProfit Stability-
dc.subjectProduction Efficiency-
dc.subjectOil Industry-
dc.subjectLNG Industry-
dc.subjectPanel Data Analysis-
dc.subject.ddc658.514-
dc.titleProductivity Analysis of Oil Industry Using Portfolio Theory-
dc.title.alternative포트폴리오 이론을 통한 석유산업 생산성 분석-
dc.typeThesis-
dc.typeDissertation-
dc.contributor.AlternativeAuthorChan Su Lim-
dc.contributor.department공과대학 협동과정 기술경영·경제·정책전공-
dc.description.degreeDoctor-
dc.date.awarded2019-08-
dc.identifier.uciI804:11032-000000157980-
dc.identifier.holdings000000000040▲000000000041▲000000157980▲-
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