天然气市场波动对下游企业资本市场的影响  

Impacts of natural gas market fluctuations on capital market ofdownstream enterprises

作　　者：柴建[1] 李晓芬 Chai Jian;Li Xiaofen(School of Economics&Management,Xidian University,Xi’an 710126,China)

机构地区：[1]西安电子科技大学经济与管理学院,陕西西安710126

出　　处：《系统工程学报》2022年第6期736-748,共13页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71874133).

摘　　要：基于熵权法,构建下游城市燃气价格指数.为了研究天然气市场波动的影响效应,进行季节趋势分解,构建结构向量自回归模型,并以此为基础建立马尔科夫区制转移向量自回归模型,识别和分析考察期内的结构变化.结果表明,天然气市场波动会影响下游企业的资本市场,存在着状态的转换,相比于液化天然气产量和液化天然气价格,液化天然气进口量波动对下游企业影响更大,国内与天然气市场有关事件,也会影响城市燃气企业资本市场.After constructing a gas price index for downstream cities based on the entropy weight method,this study applies the seasonal trend decomposition method and constructs structural vector autoregression to study the effect of natural gas market fluctuation.Markov vector autoregression is established to identify and analyze structural changes during the study period.The results show that fluctuation of natural gas market affects the capital market of downstream enterprises and that there is a state transition.Compared with the output and price of LNG,the fluctuation of liquefied natural gas import has a greater impact on downstream enterprises.Domestic events related to natural gas market also affect the capital market of urban gas enterprises.

关 键 词：熵权法 城市燃气价格指数 季节趋势分解 结构向量自回归模型 马尔科夫区制转移向量自回归模型 

分 类 号：F224[经济管理—国民经济] F764.1