国内动力煤市场、成品油市场与LNG市场价格间的溢出效应研究  

The Price Spillover Effect of Steam Coal Market,Refined Oil Market and LNG Market in China

作　　者：周迎 肖建忠[1] 彭甲超 ZHOU Ying;XIAO Jianzhong;PENG Jiachao(China University of Geosciences,Wuhan,China;Wuhan Institute of Technology,Wuhan,China)

机构地区：[1]中国地质大学(武汉)经济管理学院 [2]武汉工程大学法商学院 [3]武汉工程大学资源环境与经济高质量发展研究中心

出　　处：《管理学报》2024年第5期769-778,共10页Chinese Journal of Management

基　　金：国家自然科学基金资助项目(72273134);国家自然科学基金资助青年基金项目(72303174);武汉市知识创新专项资助项目——曙光计划青年人才项目(2022010801020365)。

摘　　要：以2014~2021年动力煤、成品油和LNG的价格收益率进行估算,研究3个能源产品市场间的均值溢出、非对称的波动溢出和动态相关性。研究发现:在样本期内3个能源产品市场之间存在明显的溢出效应,成品油市场在均值溢出和波动溢出中分别与动力煤市场和LNG市场具有双向的溢出效应,说明成品油市场作为3个市场间的纽带,具有很强的调节作用;3个能源产品市场之间的波动溢出和其自身的波动性存在显著的非对称特征;LNG市场在传统能源市场的整合中起到了推动作用,其不仅是价格溢出的源头,而且价格的波动还会加剧其余两个市场的风险。This study estimated the rate of returns on steam coal,refined oil and LNG ranging from 2014 to 2021,and investigated the mean spillover,asymmetric volatility spillover and dynamic correlations among the three energy product markets.The investigation indicates that there are significant spillover effects of variables in the sample period.Refined oil market has a bidirectional spillover effect with steam coal market and LNG market in the mean spillover and the volatility spillover,respectively.It seems that refined oil market is the nexus of spillover which connects steam coal market and LNG market,playing a regulatory role.Significant asymmetric characteristics exist in the volatility spillover among the three energy product markets and their own volatility.The LNG market has promoted the integration of traditional energy markets.It is the source of price spillover,and the risk of steam coal market and refined oil market will be aggravated with the volatility in its price.

关 键 词：能源产品价格 溢出效应 市场整合 

分 类 号：C93[经济管理—管理学]