에너지경제연구제 16 권제 1 호 Korean Energy Economic Review Volume 16, Number 1, March 2017 : pp. 163~190 학술 시변파라미터일반화해밀턴 -plucking 모형을이용한전력소비의선제적경기국면판단활용연구 * 163
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ln 168
[ 그림 1] 제조업전력판매량 (a) 로그변환 (b) 증가율 23.8 23.7 23.6 23.5 23.4 23.3 23.2 23.1 23.0 May-00 May-03 May-06 May-09 May-12 May-15 3 2 1 0-1 -2-3 -4-5 May-00 May-03 May-06 May-09 May-12 May-15 169
< 표 1> 제조업전력판매량데이터의기초통계 170
α τ τ τ β β α α α α α σ φ φ φ σ τ α β α α 171
φ φ π σ σ σ σ π π σ σ 172
θ θ θ τ θ 173
α α γ α α α α φ φ α α α ε π ε 174
α α α γ θ α α α φ φ α π δ α α ε ε α α η α 175
α α η ψ ψ η η ψ π α 176
ψ ψ ψ ψ ψ ψ ψ σ α π σ α 177
α π γ < 표 2> 벤치마크모형및확장모형 I 추정결과 φ φ σ σ σ π α γ θ 178
η η ψ [ 그림 2] Bartlett 의 t 검정과이의 2 표준편차신뢰구간 ψ 179
[ 그림 3] 벤치마크모형에따른전력소비위축기 (Pr( ) 180
[ 그림 4] 벤치마크모형에따른경기선행성판단 181
[ 그림 5] 벤치마크모형에따른경기변동과경기동행지수비교 θ θ 182
[ 그림 6] 전력소비잠재증가율 α β 183
β β α γ β β σ σ [ 그림 7] 시변파라미터 ( β ) 184
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접수일 (2017 년 2 월 3 일 ), 게재확정일 (2017 년 2 월 22 일 ) 186
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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