我国煤炭相关期货品种价格联动关系研究——基于对焦煤、焦炭和动力煤期货价格联动性分析  

Research on the Linkage Relationship of Coal Futures Price in China——Taking Coking Coal, Coke and Steam Coal as Examples

作　　者：李百吉[1] 周旭旭 武舜臣 

机构地区：[1]中国矿业大学(北京) [2]清华大学公共管理学院

出　　处：《价格理论与实践》2018年第7期71-74,共4页Price:Theory & Practice

摘　　要：我国煤炭消费总量逐年降低,煤炭价格过度波动对煤炭工业发展产生负面影响。为规避煤炭相关企业要素产品价格波动产生的风险,煤炭类期货品种相继推出。本文首先基于斯皮尔曼和肯德尔相关分析方法,发现DCE焦煤、焦炭和CZCE动力煤同期期货价格间具有较高的关联性。其次,根据煤炭消费市场分类标准,将焦煤、焦炭和动力煤组成煤炭期货市场,通过VAR模型和协整检验结果,该市场存在长期均衡,各产品价格信息影响稳定。焦煤和焦炭的价格联动性较强,存在双向因果关系,但价格走势存在15天左右滞后期。研究发现,动力煤期货价格对焦煤价格冲击的影响大于焦炭期货价格。With the year-by-year decrease of China’s total coal consumption, overfluctuation of coal price has brought negative impact on adjustment of industrial structures.Various kinds of coal futures products were launched one after another to avoid the risk that would be caused by the price fluctuation of factor products in coal related enterprises. Firstly, by adopting Spearman and Kendall correlation analysis, this thesis discovered that the correlation of futures prices in the same period among DCE coking coal,coke and CZCE steam coal is significant. Secondly, in accordance with the classification standard of coal consumption market, coking coal, coke and steam coal are composed as coal futures market. By applying VAR model and conducting relevant inspection, it was found out that long-term balance exists in this market, and the impact of each price information is stable. There is strong linkage on prices between coking coal and coke, and there exists a bi-directional causality. However, there’s a lag period in the trend of price for about 15 days. Last but not least, we found out that price impact on coking coal caused by steam coal futures is greater than the price of coal futures. Hence the conclusion is price impact of cross-market trade is greater than those within the market.

关 键 词：煤炭 煤炭期货价格 套期保值 跨市场交易风险 

分 类 号：F724.5[经济管理—产业经济] F764.1