基于VAR模型的中国煤炭市场价格影响因素分析及预测  

Analysis and Prediction on Factors Affected to China Coal Market Price Base on VAR Model

作　　者：徐宇杭[1] 许遥[1] 

机构地区：[1]中国人民大学信息学院,北京100872

出　　处：《煤炭经济研究》2012年第9期55-58,67,共5页Coal Economic Research

摘　　要：通过分析煤炭价格、煤炭供给量、煤炭需求量和煤炭进口量的关系构建了VAR模型,利用格兰杰因果检验分析了上述变量之间的因果关系,得出煤炭需求量、供给量均为煤炭价格的格兰杰原因,而煤炭进口量并不是煤炭价格的格兰杰原因;基于VAR模型预测煤炭价格将会在一段时间内持续走低。最后,就煤炭行业如何应对此次危机提出相关建议。A VAR model was established with the coal price, coal supply quantity, coal demand quantity and coal import quantity. The Granger causality test was applied to analyze the cause and effect relationship between the above variations and the coal demand quantity and coal supply quantity were all the Granger causes of the coal price. And the coal import quantity was not the Granger causes of the coal price. Base on the VAR model, the coal price predicted would be going down continu- ously in a certain time. Finally, the related proposals on how the coal industry to handle this crisis were provided.

关 键 词：煤炭市场价格 供需关系 VAR模型 格兰杰因果检验 

分 类 号：F224[经济管理—国民经济]