基于机制转换模型的煤炭价格预测分析  

Coal price forecast analysis based on mechanism conversion model

作　　者：李媛 魏晓平[1] Li Yuan;Wei Xiaoping(School of Economics and Management,China University of Mining and Technology,Xuzhou 221116,China;Xuhai College,China University of Mining and Technology,Xuzhou 221008,China)

机构地区：[1]中国矿业大学经济管理学院,江苏徐州221116 [2]中国矿业大学徐海学院,江苏徐州221008

出　　处：《煤炭经济研究》2020年第11期54-58,共5页Coal Economic Research

基　　金：江苏高校哲学社会科学研究项目(2018SJA2187,2019SJA2172)。

摘　　要：考虑我国煤炭价格高度波动性和周期性,引进一种新的描述煤炭价格的方法——机制转换模型,用煤炭期货价格校准了MRMR、MRGBM两种机制转换模型以及传统的均值回归(MR)模型的参数,发现每种机制呈现出不同的平均回归速度,反映了煤炭价格在不同机制下的状态。对比研究结果显示,与传统均值回归模型相比,机制转换模型对我国煤炭价格的预测效果更优。Considering the high volatility and periodicity of coal prices in China,a new method of describing coal prices was introduced—the mechanism conversion model. The parameters of the two mechanism conversion models of MRMR and MRGBM and the traditional mean regression(MR) model were calibrated with coal futures prices,and it was found that each mechanism showed different average regression speeds,reflecting the state of coal prices under different mechanisms. Compared with the traditional mean regression model,the comparative study results show that the mechanism conversion model has a better forecasting effect on China’s coal prices.

关 键 词：机制转换模型 煤炭价格 随机过程 预测分析 

分 类 号：F416.21[经济管理—产业经济]