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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< 표 1> 표본자료의기초통계량 42
[ 그림 1] 표본시계열자료의추이 43
< 표 2> 수준및로그차분변수에대한단위근검정결과 44
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[ 그림 2] 구조적충격의추이 46
[ 그림 3] SMP 변동에대한역사적요인분해 47
[ 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
[ 그림 5] SMP 변동의방향과여타구조적충격의기여율추이 45% 40% SMP COAL GAS USD 10% 8% 6% 35% 30% 4% 2% 0% -2% 25% 200704 200904 201104 201304 201504-4% < 표 3> SMP 변동의방향과여타구조적충격의기여율간의상관관계 49
[ 그림 6] SMP 변동의크기와여타구조적충격의기여율추이 45% 40% 35% 30% SMP COAL GAS USD 18% 16% 14% 12% 10% 8% 6% 4% 2% 25% 0% 200704 200904 201104 201304 201504 50
< 표 4> SMP 변동의크기와여타구조적충격의기여율간의상관관계 51
접수일 (2017 년 1 월 4 일 ), 게재확정일 (2017 년 2 월 8 일 ) 52
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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 2015. 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