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基于1953~2005年的数据,对中国电力消费波动特性进行了实证分析。通过建立GARCH(1,1)、TGARCH(1,1)和EGARCH(1,1)3个模型,描述了中国电力消费增长率的波动特征,利用G ranger因果关系检验法分析了电力消费增长率与增长率波动性之间的因果关系。实证结果表明:GARCH(1,1)模型是最优的拟合模型,我国电力消费波动存在显著的ARCH效应和GARCH效应,但电力消费增长率不存在杠杆效应。且我国电力消费增长率是增长率波动的G ranger原因,这意味着当期的电力消费增长率水平会对未来增长率波动产生影响。因此,有关部门应当采取有效措施以保证电力消费平稳增长,从而保持经济的健康协调发展。
Based on the data from 1953 to 2005, this paper empirically analyzes the fluctuation characteristics of China’s electricity consumption. Through the establishment of three models of GARCH (1,1), TGARCH (1,1) and EGARCH (1,1), the fluctuation characteristics of the growth rate of China’s electricity consumption are described. The Granger causality test is used to analyze the growth rate of electricity consumption And the causal relationship between the volatility of growth rate. The empirical results show that GARCH (1,1) model is the best fitting model. There is a significant ARCH effect and GARCH effect on the fluctuation of electricity consumption in China, but there is no leverage effect on the growth rate of electricity consumption. And the growth rate of China’s electricity consumption is the reason for the G ranger of the growth rate fluctuation, which means that the current level of electricity consumption growth rate will have an impact on the future growth rate fluctuations. Therefore, the relevant departments should take effective measures to ensure the steady growth of electricity consumption so as to maintain the healthy and coordinated development of economy.