电力价格波动对中国宏观经济的冲击效应研究

发布时间：2018-02-02 01:48

本文关键词： 电价波动宏观经济动态随机一般均衡模型时变参数因子扩展向量自回归模型　出处：《安徽财经大学》2015年硕士论文　论文类型：学位论文

【摘要】：2000年以来,我国经济迅猛发展的同时电力需求与供给的矛盾日益突出,为缓减这种矛盾,以及解决电价扭曲的现状,并且适应建立社会主义市场经济体制的要求,我国正逐步推行电力体制改革,打破电力行业原有的垄断局面,在电力管理中引入竞争机制,完善市场配置电力资源的作用,而其中最为关键的便是电力价格改革。电价改革使得电力的销售价格将随电力资源需求和供给的变动而波动,因此有必要明确电价的波动对宏观经济可能存在的冲击效应。本文首先构建一个包含电力要素、可以模拟我国经济环境的、具有微观经济理论意义的动态随机一般均衡模型。通过设定代表性家庭根据自身效用最大化来权衡休闲和劳动,并从劳动市场获取报酬后,购买电力资源用以家用或提供给中间产品厂商,中间产品厂商利用代表性家庭提供的劳动、电力以及资本进行生产,并交付给最终产品厂商,而货币当局选用扩展的泰勒规则进行市场调节。通过市场出清、一阶条件的求解、校准、贝叶斯估计等一系列步骤,模拟我国电价波动对产出、物价水平、投资等多个宏观经济变量的冲击影响,以及通过历史方差分解探讨2000年第一季度至2014年第四季度这段时期内,电价冲击对于我国经济波动的解释能力,最后对构建的理论模型进行基准评价。考虑到本文构建的简化形式的理论模型无法完全拟合现实经济环境,也无法真实反映经济环境变动的时变特征,故需要依靠传统计量经济模型进行实证检验。因此,本文利用非理论性的时变参数因子扩展向量自回归模型对上述理论模型进行实证检验,通过在109个宏微观经济变量中提取解释因子,和待考察的变量共同构建向量自回归,考察2005年第二季度、2009年第三季度、2011年第一季度以及2014年第四季度四个时点电价波动对产出、物价水平、投资等变量的冲击,并且和构建的理论模型结果相比较,研究发现电价波动对我国各宏观经济变量不仅影响显著,而且具有时变的特征。最后根据本文研究结论,基于我国现阶段经济形势以及电力市场改革状况,针对电价改革过程中可能出现的问题提出相应的政策建议。
[Abstract]:Since 2000, with the rapid development of economy, the contradiction between electricity demand and supply has become increasingly prominent. In order to alleviate this contradiction, and to solve the current situation of electricity price distortion. And to meet the requirements of the establishment of a socialist market economy system, China is gradually carrying out the reform of the power system, breaking the original monopoly situation in the electric power industry, introducing a competitive mechanism into the power management. The role of improving the market allocation of power resources, and the most critical is the electricity price reform, the electricity price reform makes the electricity sales price will fluctuate with the change of demand and supply of power resources. Therefore, it is necessary to clarify the impact of the fluctuation of electricity price on the macroeconomic. Firstly, this paper constructs a power element, which can simulate the economic environment of our country. A dynamic stochastic general equilibrium model with microeconomic theoretical significance. By setting up representative families to balance leisure and labor according to their own utility maximization, and get the remuneration from the labor market. The purchase of electricity resources is used for household use or to be provided to intermediate product manufacturers, which make use of labour, electricity and capital provided by representative households for production and delivery to end product manufacturers. The monetary authorities choose the extended Taylor rule to regulate the market. Through a series of steps, such as market clearing, the solution of first-order conditions, calibration, Bayesian estimation and so on, we simulate the fluctuation of electricity price to the output and price level in China. The impact of several macroeconomic variables, such as investment, and the period from in the first quarter of 2000 to in the fourth quarter of 2014 are discussed through historical variance decomposition. Electricity price shock to explain the economic fluctuations in China, finally the theoretical model constructed by the benchmark evaluation. Considering the simplified form of theoretical model constructed in this paper can not fully fit the real economic environment. Also can not truly reflect the time-varying characteristics of the economic environment, so we need to rely on the traditional econometric model for empirical testing. In this paper, the extended vector autoregressive model of non-theoretical time-varying parameter factors is used to test the above theoretical models, and the explanatory factors are extracted from 109 macro and micro economic variables. The vector autoregressions were constructed with the variables to be investigated, and investigated on in the second quarter of 2005, in the third quarter of 2009. In in the first quarter of 2011 and in the fourth quarter of 2014, the impact of electricity price fluctuation on output, price level, investment and other variables, and compared with the results of the theoretical model. The study found that the fluctuation of electricity price not only has a significant impact on the macroeconomic variables in China, but also has the characteristics of time-varying. Finally, according to the conclusion of this study, based on the current economic situation and the electricity market reform in China. In view of the electricity price reform process may appear the question to put forward the corresponding policy suggestion.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F426.61;F124

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