基于协整理论的美国电力期货市场实证研究

An Empirical Research of American Electricity Futures Market Model Based on Cointegration

本文基于VAR的协整理论,对美国PJM电力期货市场作了模型实证研究。因果关系检验显示下月合约价格是现货价格单向的Granger原因。协整检验结果显示电力期货价格和现货价格存在长期稳定均衡的关系,期货市场具有价格发现的功能,与现货市场相比价格发现功能较弱。方差分解结果显示,期货价格受自身的影响很大,受现货价格的影响很小;而现货价格受自身影响很大,随着滞后期的增加,受自身的影响逐渐减弱,受期货市场的影响逐步增大,期货市场在价格决定中起主导作用;脉冲响应函数同样显示现货对期货的影响较小,期货对现货的影响相对较大。

Based on the VAR co - integration theory, this article has an empirical study on the America PJM electricity futures market. Cause - and - effect test shows there is single direction Granger cause - and - effect relationship between the next month contract price and the spot price . The cointegration test shows the electricity futures price and spot price has long - run equilibrium relation, and the futures market has price discovery function, furthermore, the price discovery function of spot market is weaker. The variance decomposition result shows futures prices are more affected by the futures price themselves, and the impact of the spot prices are very small and almost can be missed. The spot price is more affected by the spot prices themselves in the short - run. With the lag period increase, the impact of spot prices themselves get weak gradually, and the impact of the futures markets get larger gradually, finally, the futures market has primary function in the price decision. The impulse - reaction function also shows the impact of the spot market on the futures market is smaller, and the impact of futures market on the spot market is larger.