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재현 한
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1 에너지경제연구 Korean Energy Economic Review Volume 13, Number 2, September 2014 : pp. 131~169 구조변화를고려한우리나라전력소비의 변동성증가에관한연구 131

2 132

3 133

4 134

5 135

6 max ln exp 136

7 < 표 1> 구조변화에따른비조건부분산 137

8 max max 138

9 139

10 140

11 141

12 142

13 143

14 144

15 max max 145

16 .15 [ 그림 1] 우리나라전력소비증가율 ( 로그차분 )

17 < 표 2> 자료들의연도별변동성 147

18 148

19 < 표 3> 전력소비의조건부평균과조건부분산의구조변화검정결과 < 표 4> 전력소비의비조건부분산변화 149

20 150

21 [ 그림 2] 부문별전력소비증가율및 Growth Contribution 151

22 < 표 5> 부문별전력소비증가율의변동성변화 152

23 153

24 < 표 6> 전력소비증가율에대한다수의구조변화검정결과 < 표 7> 부문별전력소비의변동성변화 154

25 < 표 8> 생산 가격충격을고려한전력소비증가율의변동성변화 155

26 156

27 157

28 < 표 9> 기온충격을고려한전력소비증가율의변동성변화 158

29 159

30 160

31 접수일 (2014 년 3 월 31 일 ), 게재확정일 (2014 년 9 월 4 일 ) 161

32 , , EU., , , Ahed, S., Levin, A. and Wilson, B. A Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck? The Review of Economics and Statistics 86(3) : pp Andrews, D. W. K Tests for Parameter Instability and Structural Change with Unknown Change Point. Econometrica 61(4) : pp Andrews, D. W. K., Ploberger, W Optimal Tests when a Nuisance Parameter is Present Only under the Alternative. Econometrica 62(6) : pp Bai, J Least squares estimation of a shift in linear processes. Journal of Time Series Analysis 15(5) : pp Bai, J Estimating Multiple Breaks One at a Time. Econometric Theory 13(3) : pp Bai, J., Perron, P Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica 66(1) : pp Bai, J., Perron, P Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics 18(1) : pp1-22. Bai, J., Perron, P Multiple Structural Change Models: A Simulation Analysis. Econometric Theory and Practice: Frontiers of Analysis and Applied Research : pp Cambridge University Press. 162

33 Bentai, L The great moderation in the United Kingdom. Journal of Money, Credit and Banking 40(1) : pp Blanchard, O. and Simon, J The Long Decline in U.S. Output Volatility. Brookings Papers on Economic Activity 32(1) : pp Canova, F What Explains the Great Moderation in the U.S.? A Structural Analysis. Journal of the European Economic Association 7(4) : pp Chauvet, M. and Potter, S Recent Changes in the U.S. Business Cycle. The Manchester School 69(5) : pp Chow, G. C Tests of Equality Between Sets of Coefficients in Two Linear Regressions. Econometrica 28(3) : pp Daslsgaard, T., Elmeskov, J. and Park, C.-Y Ongoing Changes in the Business Cycle: Evidence and Causes. OECD Economics Department Working Papers 315. Davidian, M. and Carroll, R. J Variance Function Estimation. Journal of the American Statistical Association 82(400) : pp Davies, R. B Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative. Biometrika 64(2) : pp Del Negro, M. and Otrok, C Time-Varying European Business Cycles. Mimeo, University of Virginia. Doyle, B. M. and Faust, J Breaks in the Variability and Comovement of G-7 Economic Growth. The Review of Economics and Statistics 87(4) : pp Fritshe, U. and Kuzin, V Declining Output Volatility in Germany: Impulses, Propagation, and the Role of Monetary Policy. Applied Economics 37 : pp Giannone, D., Reichlin, L. and Lenza, M Explaining the Great Moderation: It Is Not the Shocks. Journal of the European Economic Association 6(2-3) : pp Hansen, B. E Approximate Asymptotic p Values for Structural-Change Tests. Journal of Business and Economic Statistics 15(1) : pp

34 Hamilton, J. D Time Series Analysis. Vol. 2. Princeton: Princeton University Press. Herrera, A. M. and Pesavento, E The Decline in U.S. Output Volatility: Structural Changes and Inventory Investment. Journal of Business & Economic Statistics 23(4) : pp Kahn, J. A., McConnell, M. M. and Perez-Quiros, G On the Causes of the Increased Stability of the U.S. Economy. Economic Policy Review 8 : pp Kim, C.-J. and Nelson, C. R Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle. The Review of Economics and Statistics 81(4) : pp Kim C.-J., Nelson, C. R. and Piger, J The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations. Journal of Business & Economic Statistics 22(1) : pp Koop, G. and Korobilis, D Bayesian Multivariate Time Series Methods for Empirical Macroeconomics. Foundations and Trends in Econometrics 3(4) : pp McConnell, M. M., Mosser, P. and Perez-Quiros, G "A Decomposition of the Increase Stability of GDP Growth." Current Issues in Economics and Finance 5(13) : pp1-6. McConnell, M. M. and Perez-Quiros, G Output Fluctuations in the United States: What Has Changed Since the Early 1980 s? American Economic Review 90(5) : pp Mills, T. and Wang, P Have Output Growth Rates Stabilized? Evidence from the G-7 Economies. Scottish Journal of Political Economy 50(3) : pp Sensier, M. and van Dijk, D Testing for Volatility Changes in U.S. Macroeconomic Time Series. The Review of Economics and Statistics 86(3) : pp Simon, J The Decline in Australian Output Volatility. Reserve Bank of Australia. 164

35 Stock, J. H. and Watson, M. W Has the Business Cycle Changed and Why? In NBER Macroannual : pp MIT Press. Stock, J. H. and Watson, M. H Understanding Changes in International Business Cycle Dynamics. Journal of the European Economic Association 3(5) : pp Quandt, R Tests of the Hypothesis That a Linear Regression Obeys Two Separate Regimes. Journal of the American Statistical Association 55(290) : pp Warnock, M. C. and Warnock, F. E The Declining Volatility of U.S. Employment: Was Arthur Burns Right? Board of Governors of the Federal Reserve System. Zivot, E. and Andrews, D. K Further Evidence On The Great Crash, The Oil Price Shock, and The Unit Root Hypothesis. Journal of Business and Economic Statistics 10(10) : pp

36 < 부표 1> 부문별 연도별전력소비와관련변수들간의상관관계 166

37 < 부표 2> 부문별전력소비와 GC 에대한구조변화검정결과 < 부표 3> 생산 가격및각충격에대한구조변화검정결과 167

38 < 부표 4> 부문별전력소비증가율및 GC 에대한추정결과 < 부표 5> 개별충격을고려한전력소비모형추정결과 168

39 ABSTRACT This study examines volatility changes of electricity consumption in South Korea. The results of empirical analysis using quarterly data from 1970:1 to 2013:2 shows the volatility increase. Structural changes of conditional mean and variance result in this increase. Electricity use in industrial, commercial service and residential sector are examined for identifying the main sources of the increase. With respect to the reasons of these changes, economic shocks, such as GDP and price of electricity, and temperature shock, such as HDD CDD, are checked. The specific results show that the main source which have charge of the volatility increase is commercial service sector whose electricity consumption has a relatively large proportion in its total energy use. In addition, increase in the effect of GDP, Price and temperature shock to the electricity use leads to the volatility expansion. These empirical results suggest that effective management in the volatility of electricity consumption should consider the effect of economic climatic shock as well as the volatility of electricity use itself. Key Words : Electricity consumption, Volatility change, Multiple structural breaks analysis, economic climatic shock JEL Codes : C22, C34, Q43 169

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