中国能源消费与经济增长的动态关系——基于状态空间模型的变参数分析

The Dynamic Relationship between the China's Energy Consumption and Economic Growth——the Time Varying Parameter Analysis Based on State Space Model

能源对经济实现可持续增长具有重要作用,但随着经济结构、技术进步的变化以及其他要素对能源的替代作用,经济增长对能源的依赖性呈现出逐步减小的趋势。与以往文献注重静态或均衡分析不同,本文首次分析了能源消费和经济增长之间的动态关系或非均衡关系。本文研究内容分为以下三个模块:在多变量分析框架下,构建了基于状态空间模型的中国能源消费和经济增长的变参数模型;检验了变量的平稳性及协整关系;运用KALMAN滤波算法对状态空间模型的参数进行估计,并对其大小和波动进行分析。

Energy plays an important role in the economy＇s sustainable development. However, with the changes of economic structure and technological progress and the substitute of other factors for the energy, the economy growth has depended decreasingly on the energy. Distinguished from former literature which focuses on the static or balanced analysis, this thesis analyzes unprecedented the dynamic relationship and unbalanced relationship between the energy consumption and economic growth. The research content of this thesis is divided into the following three parts： within the framework of multivariate analysis, timevarying parameters model of China＇s energy consumption and economic growth has been constructed, basing on state space model; examined the stabilization of the variables and their cointegration tests; using KALMAN filter arithmetic to estimate the parameters of state space model, as well as analyzing their size and fluctuation.