基于VAR的中国沿海及长江煤炭运价波动相关性实证分析  

Empirical Analysis of Fluctuation Correlation of Coal Freight Rates in China's Coastal Areas and Yangtze River Based on VAR

作　　者：谭宏睿 杨家其[1] TAN Hongrui;YANG Jiaqi(School of Transportation, Wuhan University of Technology, Wuhan 430063, China)

机构地区：[1]武汉理工大学交通学院,武汉430063

出　　处：《武汉理工大学学报（交通科学与工程版）》2021年第1期161-165,共5页Journal of Wuhan University of Technology（Transportation Science & Engineering）

摘　　要：沿海煤炭运价指数和长江煤炭运价指数作为市场的“晴雨表”.引起较多关注,为研究沿海与长江煤炭运输市场及运价波动的相关性,选用沿海及长江煤炭运价指数,建立VAR模型进行实证分析.结果显示:两者之间存在双向的因果关系,且长江煤炭运价波动较沿海存在滞后,两者对对方的冲击都较为敏感,但沿海煤炭运价对长江煤炭运价波动冲击更大.As the“barometer”of the market,the Coastal Coal Freight Index and the Yangtze River Coal Freight Index have attracted more attention.Selecting the coastal and Yangtze River coal freight index,the VAR model was established for empirical analysis.The results show that there is a two-way causal relationship between them,and the fluctuation of coal freight rates in the Yangtze River lags behind that in the coastal areas,and both are more sensitive to the impact of each other,but the coastal coal freight rates have a greater impact on the fluctuation of coal freight rates in the Yangtze River.

关 键 词：沿海煤炭运价指数 长江煤炭运价指数 运价波动 VAR模型 

分 类 号：U6[交通运输工程—船舶与海洋工程]