资源与产业 ›› 2015, Vol. 17 ›› Issue (4): 134-139.

• 资源经济 • 上一篇    

煤炭期货价格和现货价格的联动性效应研究

雷强   

  1. 神华科学技术研究院发展战略研究所,北京 102211
  • 收稿日期:2015-01-28 修回日期:2015-03-24 出版日期:2015-08-20 发布日期:2015-08-20
  • 通讯作者: 雷强(E-mail: aoliege_ql@163.com)
  • 作者简介:雷强(E-mail: aoliege_ql@163.com)
  • 基金资助:
    世界煤炭协会和神华集团国际合作研究项目(SHGF-13-97)

LINKED EFFECT OF COAL FUTURES AND SPOT PRICES

LEI Qiang   

  1. Development Strategy Research Institute, Shenhua Research Institute of Science and Technology, Beijing 102211, China
  • Received:2015-01-28 Revised:2015-03-24 Online:2015-08-20 Published:2015-08-20

摘要: 基于协整理论,利用平稳性检验、预测误差方差分解等对我国煤炭期货价格和现货价格之间的联动关系进行实证研究,并提出了相应的政策建议。研究结果表明,煤炭期货价格和现货价格之间存在着协整关系且具有长期均衡关系,煤炭期货价格是现货价格的Granger原因,而煤炭现货价格不是煤炭期货价格的Granger原因。从方差分解分析可以看出,煤炭期货价格对煤炭现货价格的影响远大于煤炭现货价格对煤炭期货价格的影响,煤炭期货价格对煤炭现货价格的影响比较显著,而煤炭期货价格的总体变化主要是受自身原因影响,两者的相互影响呈现出非对称性联动效应。建议进一步完善煤炭期货市场,培育煤炭金融市场多元化主体,增强煤炭的金融属性,同时重视煤炭期货相关的法律法规的制定。

关键词: 煤炭期货价格, 煤炭现货价格, 非对称性, 因果关系

Abstract: This paper, based on the cointegration theory, uses stationary test and variance decomposition to study the linked effect of Chinas coal futures price and spot price and presents suggestions. A cointegration and longrun equilibrium relationship exists between the coal futures price and spot price. Coal futures price is the Granger cause of spot price, but not vice versa. Variance shows far greater influence of coal futures price over spot price than spot price over futures price. Coal futures price variance depends on itself. The linked effect of coal futures and spot prices displays asymmetry. This paper suggests improving coal futures market, diversifying coal financial market entities, intensifying coal financing, and focusing on coal futures laws and regulations.

Key words: coal futures price, coal spot price, asymmetry, causality

中图分类号: