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

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

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8 < 표 1> 표본자료의기초통계량 42

9 [ 그림 1] 표본시계열자료의추이 43

10 < 표 2> 수준및로그차분변수에대한단위근검정결과 44

11 45

12 [ 그림 2] 구조적충격의추이 46

13 [ 그림 3] SMP 변동에대한역사적요인분해 47

14 [ 그림 4] 기간별 SMP 변동에대한여타구조적충격의기여율 45% 40% 35% 30% 02/05-08/12 09/07-12/07 12/08-15/12 38% 38% 37% 35% 34% 33% 29% 29% 27% 25% 20% 15% 10% 5% 0% COAL GAS USD 48

15 [ 그림 5] SMP 변동의방향과여타구조적충격의기여율추이 45% 40% SMP COAL GAS USD 10% 8% 6% 35% 30% 4% 2% 0% -2% 25% % < 표 3> SMP 변동의방향과여타구조적충격의기여율간의상관관계 49

16 [ 그림 6] SMP 변동의크기와여타구조적충격의기여율추이 45% 40% 35% 30% SMP COAL GAS USD 18% 16% 14% 12% 10% 8% 6% 4% 2% 25% 0%

17 < 표 4> SMP 변동의크기와여타구조적충격의기여율간의상관관계 51

18 접수일 (2017 년 1 월 4 일 ), 게재확정일 (2017 년 2 월 8 일 ) 52

19 ,,, 2002., (SMP), LNG,,, 27, 2014, pp , :, 17 2, 2015, pp ,,,, 2014.,, 2009.,, 2014 Asche, F., P. Osmundsen and M. Sandsmark, "The UK Market for Natural Gas, Oil and Electricity: Are the Prices Decoupled?" Energy Journal, 27, 2006, pp Bernanke, B., Alternative Explanations of the Money-Income Correlation, Carnegie-Rochester Conference Series on Public Policy 25, 1986, pp Blanchard, O. and D. Quah, The Dynamic Effects of Aggregate Demand and Supply Disturbances," American Economic Review, 79, 1989, pp Chae, Y., M. Kim and S. Yoo, Does Natural Gas Fuel Price Cause System Marginal Price, Vice-versa, or Neither? A Causality Analysis, Energy, 47, 2012, pp Emery, G. and Q. Liu, "An Analysis of the Relationship between Electricity and Natural-Gas Futures Prices," Journal of Futures Markets, 22, 2002, pp Furió, D. and H. Chuliá, "Price and Volatility Dynamics between Electricity and Fuel Costs: Some Evidence for Spain," Energy Economics, 34, 2012, pp Hamilton, J. and A. Herrera, Oil Shocks and Aggregate Economic Behavior: The Role of Monetary Policy: Comment, Journal of Money, Credit, and Banking, 36, 2004, pp. 53

20 Lee, K. and S. Ni, On the Dynamic Effects of Oil Price Shocks: A Study Using Industry Level Data, Journal of Monetary Economics, 49, 2002, pp Mjelde, J. and D. Bessler, "Market Integration among Electricity Markets and Their Major Fuel Source Markets," Energy Economics, 31, 2009, pp Mohammadi, H., "Electricity Prices and Fuel Costs: Long-Run Relations and Short-Run Dynamics," Energy Economics, 31, 2009, pp Muñoz, M. and D. Dickey, "Are Electricity Prices Affected by the US Dollar to Euro Exchange Rate? The Spanish Case," Energy Economics, 31, 2009, pp Serletis, A. and A. Shahmoradi, "Measuring and Testing Natural Gas and Electricity Markets Volatility: Evidence from Alberta's Deregulated Markets," Studies in Nonlinear Dynamics and Econometrics, 10, pp Sims, C., Are Forecasting Models Usable for Policy Analysis? Federal Reserve Bank of Minneapolis Quarterly Review 10, 1986, pp

21 ABSTRACT This study empirically analyzes the responses of electricity prices to the shocks from international energy markets and exchange rate. For this purpose, a structural VAR model is adopted using the data of Australian coal prices, Indonesian natural gas prices, the exchange rates of Korean won to US dollar, and system marginal prices (SMP). The monthly sample covers the period from April 2001 to December According to the empirical results, the shock magnitudes for explaining the SMP fluctuations are revealed in order as natural gas market, coal market, and exchange rate. The shock contributions of coal and natural gas markets turn out to be opposite. Additionally, the shock contribution of natural gas market would be higher than that of coal market when SMP and its volatility are increasing. Key Words:Structural VAR Model, Electricity Market, System Marginal Prices 55

에너지경제연구 Korean Energy Economic Review Volume 17, Number 2, September 2018 : pp. 1~29 정책 용도별특성을고려한도시가스수요함수의 추정 :, ARDL,,, C4, Q4-1 -

에너지경제연구 Korean Energy Economic Review Volume 17, Number 2, September 2018 : pp. 1~29 정책 용도별특성을고려한도시가스수요함수의 추정 :, ARDL,,, C4, Q4-1 - . - 2 - . 1. - 3 - [ 그림 1] 도시가스수요와실질 GDP 추이 - 4 - - 5 - - 6 - < 표 1>