我国煤炭价格影响因素的VAR模型分析  

The Coal Price Effect Factors of VAR Model Analysis in China

作　　者：张建英[1] 

机构地区：[1]山西大学软件学院,山西太原030006

出　　处：《经济问题》2016年第1期108-112,共5页On Economic Problems

基　　金：山西省科技厅基金资助项目(2013091002-0108);山西省统计学会项目(【2008】KY71)

摘　　要：煤炭是我国重要的基础能源与化工材料,在国民经济的发展中占据着重要的战略地位。煤炭价格是反映煤炭行业发展变化中直观可测的变量,煤炭价格的波动不仅会影响到煤炭行业自身,还涉及到国民经济的发展和社会稳定。通过对影响煤炭价格的因素进行分析,可以发现煤炭价格变化的原因及煤炭价格与国民经济的交互作用。利用2009-2012年煤炭价格和对其产生影响的相关月度数据,运用单位根检验、协整检验、Granger因果检验及VAR模型对影响我国煤炭价格的因素进行了研究。研究结果表明,煤炭价格主要受自身波动的影响,其次受大宗商品价格、宏观经济景气指数和煤炭产量影响。Coal is important basic energy and chemical materials of our country,it takes an important strategic position in the development of the national economy in our country. The price of coal is a directly measurable variables reflecting the changes of the coal industry development,the coal price fluctuations will influence not only the coal industry itself,but also involves the development of national economy and social stability. Through analyzing the influence factors of coal price,we can fully understand the reason of coal price change and the interaction of coal price and national economic. This paper used 2009- 2012 coal prices and influenced the price relating monthly data,using the unit root test and cointegration test,Granger causality test and VAR model in our country＇s coal price influence factors are studied. The research results show that the price of coal is mainly affected by their own fluctuations,followed by the commodity price,macro economic boom index and coal production.

关 键 词：煤炭价格 协整检验 GRANGER因果检验 VAR模型 

分 类 号：F42[经济管理—产业经济]