中国大宗商品市场能源产品价格关系研究  

Research on the relationship of energy product price in China’s commodity market

作　　者：胡雁冰 吴腾华[1] HU Yan-bing;WU Teng-hua(School of Finance,Research Center for Global Financial Governance,Shanghai University of International Business and Economics,Shanghai 201620)

机构地区：[1]上海对外经贸大学金融管理学院全球金融治理研究中心,上海201620

出　　处：《价格月刊》2022年第5期1-7,共7页

基　　金：国家社科基金项目“完善金融市场体系的微观基础、指标体系与政策建议研究”(编号:16BJL022)的阶段性成果。

摘　　要：选择向量误差修正模型(VEC)对中国大宗商品市场中煤炭、石油和天然气三种主要产品价格间关系进行实证研究。实证结果表明:首先,中国煤炭价格受其自身季节性供求关系影响最大,短期来看天然气价格影响较小,长期来看天然气价格对煤炭价格有较弱的负向影响,石油价格对煤炭价格有一定的正向影响。其次,中国石油价格无论是短期还是长期都主要受其自身供求关系的影响,其他能源产品价格对其影响并不明显。最后,中国天然气价格短期主要受其自身供求关系的影响,长期来看石油价格可以较大幅度引起天然气价格变化。根据实证结果,中国应该进一步推进能源市场化进程;加强期货市场建设,建立能源期货交易所,充分发挥期货市场的价格发现能力;完善能源结构,逐步发展新能源。This paper selects the vector error correction model(VEC)to conduct an empirical study on the relationship among the prices of three main products,coal,oil and natural gas in China’s commodity market.The empirical results show that:firstly,China’s coal price is most affected by its own seasonal supply-demand relationship;In the short term,the price of natural gas has less impact;In the long term,natural gas price has a weak negative impact on coal price,while oil price has a certain positive impact on coal price.Secondly,China’s oil price is mainly affected by its own supply-demand relationship in both the short and long term,and the price of other energy products has no obvious impact on it;Finally,China’s natural gas price is mainly affected by its own supply-demand relationship in the short term;In the long run,oil price can greatly cause the change of natural gas price.According to the results,China should further promote the process of energy market,strengthen the construction of futures market,establish energy futures exchange,and give full play to the price discovery ability of the futures market,improve the energy structure and gradually develop new energy.

关 键 词：大宗商品市场 能源产品价格 价格关系 向量误差修正模型 

分 类 号：F714[经济管理—产业经济]