中国煤价波动成因及其价格发现能力研究

Coal Price Volatility and Price Discovery Function in China

以秦皇岛煤炭平均价格为例,借助时间序列分析的多种计量方法,从长期均衡关系和引导关系两个方面对我国煤炭价格波动的成因及其价格引导能力进行实证分析。研究表明,国内煤炭价格与国内煤炭供给、煤炭需求、国际煤炭价格和国际原油价格之间存在长期的均衡关系,其中,煤炭供给与煤炭需求对煤炭价格波动呈非对称影响,煤炭供给对国内煤价的影响相对较小,国际煤炭价格对国内煤炭价格的影响远大于国际原油价格的影响;主要耗煤行业煤炭需求、国际煤炭价格、国际原油价格均对国内煤炭价格波动具有良好的引导作用,而煤炭供给的引导作用并不显著;现阶段国内煤炭价格下滑是内需不足与国际能源价格冲击的结果,两者对国内煤炭价格发现的综合引导能力为54.17%。

Since the implementation of a coal dual pricing system in China, substantial cyclical fluctuations have affected the domestic coal market. Here, we use the price discovery theroy and the multiple time-series analysis methods to indicate the relationship among domestic coal prices and coal supply, coal demand, international coal price and international crude oil price. We also explore equilibrium between China’s coal price and other variables and the contribution of each structural impact on China’s coal price. We found that in the long term, there is a sole co-integration relationship among domestic coal prices and coal supply, coal demand, international coal price and international crude oil price. China＇s coal supply and coal demands have asymmetric impacts on the domestic coal price, and the coal supply flexibility of the coal price was weaker than that of coal demand. The coal demands of downstream industries, international coal prices and international crude oil prices are Granger causes of fluctuations in the domestic coal price; these factors have a good price-guiding ability to domestic coal price volatility. In the short term, the impact of coal supply on the domestic coal price is relatively small. The domestic coal price continued to decline because of insufficient domestic demand and international energy price shock, in which the coal demands of downstream industries and the international coal price play leading roles in China’s coal price discovery ability,and their comprehensive variance contribution rates achieve 54.17%.