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1 에너지경제연구제 16 권제 1 호 Korean Energy Economic Review Volume 16, Number 1, March 2017 : pp. 163~190 학술 시변파라미터일반화해밀턴 -plucking 모형을이용한전력소비의선제적경기국면판단활용연구 * 163

2 164

3 165

4 166

5 ~ 167

6 ln 168

7 [ 그림 1] 제조업전력판매량 (a) 로그변환 (b) 증가율 May-00 May-03 May-06 May-09 May-12 May May-00 May-03 May-06 May-09 May-12 May

8 < 표 1> 제조업전력판매량데이터의기초통계 170

9 α τ τ τ β β α α α α α σ φ φ φ σ τ α β α α 171

10 φ φ π σ σ σ σ π π σ σ 172

11 θ θ θ τ θ 173

12 α α γ α α α α φ φ α α α ε π ε 174

13 α α α γ θ α α α φ φ α π δ α α ε ε α α η α 175

14 α α η ψ ψ η η ψ π α 176

15 ψ ψ ψ ψ ψ ψ ψ σ α π σ α 177

16 α π γ < 표 2> 벤치마크모형및확장모형 I 추정결과 φ φ σ σ σ π α γ θ 178

17 η η ψ [ 그림 2] Bartlett 의 t 검정과이의 2 표준편차신뢰구간 ψ 179

18 [ 그림 3] 벤치마크모형에따른전력소비위축기 (Pr( ) 180

19 [ 그림 4] 벤치마크모형에따른경기선행성판단 181

20 [ 그림 5] 벤치마크모형에따른경기변동과경기동행지수비교 θ θ 182

21 [ 그림 6] 전력소비잠재증가율 α β 183

22 β β α γ β β σ σ [ 그림 7] 시변파라미터 ( β ) 184

23 185

24 접수일 (2017 년 2 월 3 일 ), 게재확정일 (2017 년 2 월 22 일 ) 186

25 (2011),? 17 2,, (2015), EVIEWS, (2000), GDP, 21 1,, (2005), 2000, 23 4,, (2002), (2), (2013),, 62 2, (1999),, (2014),, KIET 193, (2002),, 50 4, (1997),, 3 1,, (2012),, 21 3, (2011),, 13 1, Arora, V. and J. Lieskovsky(2014), Electricity Use as an Indicator of U.S. Economic Activity, EIA Working Paper. 187

26 Bellone B.(2005), Classical Estimation of Multivariate Markov-Switching Models using MSVARlib, Ferguson, R., Wilkinson, W. and R. Hill(2000), Electricity use and economic development", Energy Policy, Vol. 28 Issue 13, Filardo, A.(1994), Business cycle Phases and their Transitional Dynamics, Journal of Business and Economic statistics, Guidolin, M. and Y. M. Tam(2010), A Yield Spread Perspective on the Great Financial Crisis: Break-Point Test Evidence, Federal Reserve Bank of St. Louis, Working Paper, No. 026A. Hamilton, J. D.(1989), A New Approach to th Economic Analysis of Nonstationary Time Series and the Business Cycle, Econometrica Vol. 57. No. 2, Harvey A. C. and P. H. J. Todd(1983), Forecasting Economic Time Series with Structural and Box-Jenkins Model, Journal of Business and Economic Statistics, Vol Jumbe, C. B. L.(2004), Cointegation and causality between electricity consumption and GDP: empirical evidence from Malawi, Energy Economics Vol. 26. Issue 1, Kim, C. J.(1994), Dynamic Linear Model with Markov-Switching, Journal of Econometrics, Vol. 60, Kim, C. J.(1999), State-Space Models with Regime-Switching: Classical and Gibbs-Sampling Approaches with Applications, MIT Press. Kim, C. J. and C. R. Nelson(1999), Friedman s Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components, Journal of Money, Credit and Banking, 31, Lam, P. S.(1990) The Hamilton Model with a General Autoregressive Component: Estimation and Comparison with Other Models of Economic Time Series, Journal of Monetary Economics, 26, Thoma, M.(2004), Electrical energy usage over business cycle," Energy Economics, Vol. 26. Issue 3,

27 Narayan, P. K. and A. Prasad, "Electricity consumption-real GDP Causality Nexus: Evidence from a Bootstrapped Causality Test for 30 OECD Countries," Energy Policy, February Vol.36, No. 2, 2008, Yoo, S. H., "Electricity Consumption and Economic Growth: Evidence from Korea," Energy Policy, Vol. 33, No. 12, 2005,

28 ABSTRACT As electricity consumption is a useful real-time proxy for economic activity, this paper investigates whether electricity consumption has a leading economic information and there is asymmetry of the economic cycle. We present a new model called time-varying parameter generalized hamilton-plucking model. We have reached the two broad conclusions. First, It is found that electricity consumption has an average lead of 2 months at peaks and an average lead of 3~4 months at trough. Second, the electricity consumption increases when the economy is booming and it is reduced when the economy is in recession. In other words, electricity consumption has asymmetries over business cycle. Key Words: Electricity consumption, Time-varying parameter generalized hamilton-plucking model, business cycle 190

에너지경제연구제 16 권제 1 호 Korean Energy Economic Review Volume 16, Number 1, March 2017 : pp. 35~55 학술 전력시장가격에대한역사적요인분해 * 35

에너지경제연구제 16 권제 1 호 Korean Energy Economic Review Volume 16, Number 1, March 2017 : pp. 35~55 학술 전력시장가격에대한역사적요인분해 * 35 36 37 38 39 40 41 < 표 1> 표본자료의기초통계량 42 [ 그림 1] 표본시계열자료의추이 43 < 표 2> 수준및로그차분변수에대한단위근검정결과