动力煤期货价格波动对我国煤炭经济影响研究  

Research on the impact of fluctuation of steam coal futures price on China coal economy

作　　者：赵修茗 张甜[2] 邹绍辉[2] ZHAO Xiuming;ZHANG Tian;ZOU Shaohui(Monash University,Melbourne 3000,Australia;School of Management,Xi an University of Science and Technology,Xi an 710054,China)

机构地区：[1]莫纳什大学,澳大利亚墨尔本3000 [2]西安科技大学管理学院,陕西西安710054

出　　处：《中国矿业》2020年第1期34-40,共7页China Mining Magazine

基　　金：国家自然科学基金项目资助(编号：71273207);陕西省科学技术研究发展计划项目资助(编号：2011kjxx54);陕西省留学人员科技活动择优项目资助

摘　　要：采用中国煤炭价格指数、中国煤炭市场景气指数、中国煤炭市场预期指数和煤炭行业失业率作为我国煤炭经济发展的代表变量,选取2013年9月~2018年7月之间的交易数据,构建VAR模型,研究了动力煤期货价格与中国煤炭价格指数、中国煤炭市场景气指数、中国煤炭市场预期指数和煤炭行业失业率之间的动态关系。格兰杰因果检验表明:国内动力煤期货价格是中国煤炭价格指数、中国煤炭市场景气指数、中国煤炭市场预期指数和煤炭行业失业率的格兰杰原因。脉冲响应和方差分解分析表明:动力煤期货价格波动会引起中国煤炭市场景气度同方向变动;滞后2阶的动力煤期货价格上涨会使得中国煤炭市场预期指数上升;滞后2阶动力煤期货价格上涨,失业率降低。长期来看,动力煤期货价格上涨会使得失业率降低,动力煤期货价格与我国煤炭经济发展之间呈现动态均衡关系。Using China coal price index,China coal market boom index,China coal market expectation index and coal industry unemployment rate as representative variables of China’s coal economic development,this paper selects the transaction data from September 2013 to July 2018,constructs a VAR model,and studies the dynamic relationship among the steam coal futures price and China coal price index,China coal market boom index,China coal market expectation index and the unemployment rate of the coal industry.Granger causality test shows that domestic steam coal futures price is the Granger cause of China coal price index,China coal market boom index,China coal market expectation index and coal industry unemployment rate.The impulse response and variance decomposition analysis show that the fluctuation of steam coal futures price will cause the same direction change of China coal market prosperity;the rise of second-order steam coal futures price will make the expected index of China coal market rise;and the second-order steam coal futures price will lag behind.The grid is rising,and the unemployment rate is decreasing.In the long run,the rise in the price of steam coal will reduce the unemployment rate.Overall,there is a dynamic equilibrium relationship between the price of steam coal futures and the development of China coal economy.

关 键 词：动力煤 期货价格 波动 VAR模型 脉冲响应 煤炭经济 

分 类 号：F407.21[经济管理—产业经济]