응용통계연구 (The Korean Journal of Applied Statistics)

  • 제25권1호
  • /
  • Pages.89-99
  • /
  • 2012
  • /
  • 1225-066X(pISSN)
  • /
  • 2383-5818(eISSN)
한국통계학회 (The Korean Statistical Society)
권호 표지
DOI QR코드

DOI QR Code

한국의 경제성장과 전력수요간의 인과성에 관한 연구: 분기별 자료를 이용하여

Investigation on Granger Causality between Economic Growth and Demand for Electricity in Korea: Using Quarterly Data

  • 백문영 (연세대학교 상경대학 경제학과) ;
  • 김우환 (모나쉬대학교 경영학과)
  • 투고 : 2011.10.24
  • 심사 : 2011.12.07
  • 발행 : 2012.02.29
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

본 연구는 한국의 경제성장과 전력수요 사이의 Granger-인과성을 조사한 것이다. 실증분석을 위해 1970년 1분기부터 2009년 4분기까지의 분기별 실질 GDP와 전력소비 시계열 자료를 활용하였다. 두 시계열에 단위근이 존재하고 공적분 관계가 있음을 확인한 후 오차수정모형을 구성하였으며, Hsiao (1979)의 순차적 모형식별 과정을 적용해서 자기회귀항의 최적시차를 결정하여 모형을 추정하였다. Hsiao 방식의 Granger-인과성 분석결과, 한국의 경제성장과 전력수요는 양방향의 인과관계를 보였다. 추정된 개별 오차수정모형을 기반으로 Engle-Granger 방식의 추가적인 인과성 분석 결과로부터는 (1) 경제성장과 전력수요 사이의 단기적인 양방향성 인과관계, (2) 양방향성 강 인과관계, 그리고 (3) 장기적으로는 전력수요로부터 경제성장으로의 단방향성 인과관계를 확인할 수 있었다. 이러한 결과는 기존의 선행연구의 결과와는 상반되는 것이나, 지속적인 경제성장을 추구하는 한국의 상황에서 더 의미 있는 정책적 시사점을 줄 수 있다.

This study investigates the Granger-causality between economic growth and demand for electricity in Korea, using two quarterly time-series data (real GDP and electricity consumption) for 1970:Q1 through 2009:Q4. We apply Hsiao's sequential procedure to identify a vector autoregressive model to a decision of the optimal lags in the vector error-correction model because the two time-series data contain unit roots respectively and they are cointegrated. According to the empirical results in this study, we find that Hsiao's approach to the Granger-causality indicates a bidirectional causal relation between economic growth and demand for electricity in Korea. Following the Granger and Engle's approach, we also find the statistical evidence on (1) short-run bidirectional causality between real GDP and electricity consumption, (2) bidirectional strong causality between them, and (3) long-run unidirectional causality running from demand for electricity to economic growth. Our results show an inconsistency with the existing studies on Korea's case; however, the results appear to provide more meaningful policy implications for the Korean economy and its strategy of sustainable growth.

키워드

참고문헌

  1. Akaike, H. (1969). Fitting autoregressive for prediction, Annals of the Institute of Statistical Mathematics, 21, 243-247. https://doi.org/10.1007/BF02532251
  2. Chen, S. T., Cuo, H. I. and Chen, C. C. (2007). The relationship between GDP and electricity consumption in 10 Asian countries, Energy Policy, 35, 2611-2621. https://doi.org/10.1016/j.enpol.2006.10.001
  3. Dickey, D. A. and Fuller, W. F. (1979). Distribution of the estimations for AR time series with a unit root, Journal of the American Statistical Association, 74, 427-431.
  4. Engle, R. F. and Granger, C. W. (1983). Cointegration and error correction: Representation, estimation, and testing, Econometrica, 55, 251-276. https://doi.org/10.2307/1913236
  5. Glasure, Y. U. and Lee, A. (1998). Cointegration, error-correction, and the relationship between GDP and energy: The case of South Korea and Singapore, Resource and Energy Economics, 20, 17-25. https://doi.org/10.1016/S0928-7655(96)00016-4
  6. Granger, C. W. (1988). Some recent developments in a concept of casuality, Journal of Econometrics, 39, 383-397.
  7. Hsiao, C. (1979). Autoregressive modeling of Canadian money and income data, Journal of the American Statistical Association, 74, 553-560. https://doi.org/10.1080/01621459.1979.10481651
  8. Johansen, S. and Juselius, K. (1990). Maximum likelihood estimation and inference on cointegration with applications to the demand for money, Oxford Bulletin of Economics and Statistics, 52, 169-210. https://doi.org/10.1111/j.1468-0084.1990.mp52002003.x
  9. Narayan, P. K. and Prasad, A. (2008). Electricity consumption-real GDP causality nexus: Evidence from a bootstrapped causality test for 30 OECD countries, Energy Policy, 33, 1109-1116. https://doi.org/10.1016/j.enpol.2003.11.010
  10. Oh, W. and Lee, K. (2004). Casual relationship between energy consumption and GDP revisited: The case of Korea 1970-1999, Energy Economics, 26, 51-59. https://doi.org/10.1016/S0140-9883(03)00030-6
  11. Phillips, P. C. B. and Perron, P. (1988). Testing for a unit root in time series regression, Biometrica, 75, 335-346. https://doi.org/10.1093/biomet/75.2.335
  12. Yoo, S.-H. (2005). Electrcity consumption and economic growth: Evidence from Korea, Energy Policy, 33, 1627-1632. https://doi.org/10.1016/j.enpol.2004.02.002
  13. Yoo, S.-H. (2006). The causal relationship between electricity consumption and economic growth in the ASEAN countries, Energy Policy, 34, 3573-3582. https://doi.org/10.1016/j.enpol.2005.07.011
  14. Yu, E. S. H. and Choi, J. Y. (1985). The causal relationship between energey and GNP: An international comparison, Journal of Energy and Development, 10, 249-272. https://doi.org/10.1016/0360-5442(85)90045-3

피인용 문헌

  1. Information Variables for the Predictability of Future Changes in Real Growth vol.26, pp.2, 2013, https://doi.org/10.5351/KJAS.2013.26.2.253
  2. An Analysis on the Causality between Production Activity and Electricity Consumption in Manufacturing Sector vol.23, pp.2, 2014, https://doi.org/10.15266/KREEA.2014.23.2.349
  3. Identifying the Chickens-Eggs Statistical Lead-Lag Dilemma vol.26, pp.3, 2013, https://doi.org/10.5351/KJAS.2013.26.3.401
  4. An Analysis on the Causal Relation Between Electricity Consumption and GDP by industries in KOREA vol.30, pp.3, 2016, https://doi.org/10.5207/JIEIE.2016.30.3.039
  5. Predictability of Consumer Expectations for Future Changes in Real Growth vol.28, pp.3, 2015, https://doi.org/10.5351/KJAS.2015.28.3.457