煤炭期货与现货价格指数联动关系研究  

Research on the linkage between coal futures and spot price index

作　　者：司传煜 

机构地区：[1]中国社会科学院大学

出　　处：《价格理论与实践》2020年第2期103-106,175,共5页Price:Theory & Practice

摘　　要：煤炭是我国比较重要的基础能源产品。本文以动力煤期现货价格指数为例,探究煤炭期现货价格的相互关系,运用协整检验、Granger因果关系检验、方差分解、状态空间模型估计等多元时间序列分析方法,研究两类价格指数的相互关系发现:动力煤期现货价格指数存在一定的联动效应,且2016年之后愈加明显;动力煤期货现价格指数之间表现为稳定的协整关系和格兰杰因果关系;在相互引导影响方面,现货价格指数略占优势。Coal is an important basic energy product in China.This paper takes the spot price index of steam coal as an example,to explore the relationship between the spot price of coal and the co integration test,Granger causality test,variance decomposition,state space model estimation and other multiple time series analysis methods to study the relationship between the two types of price indexes.It is found that:there is a certain linkage effect in the spot price index of steam coal,which is more obvious after 2016;The results show that there is a stable cointegration relationship and Granger causality between the current price index of steamcoal futures;in terms of mutual guidance and influence,the spot price index is slightly dominant.

关 键 词：动力煤价格指数 煤炭期货价格 煤炭现货价格 期现货价格联动 

分 类 号：F426.21[经济管理—产业经济] F764.1F724.5