摘要
选取山西省煤炭价格与经济变量指数,通过协整检验构建VAR模型,运用脉冲响应函数和方差分解法,对煤炭价格波动与经济变量之间关系进行了实证分析。结果表明:1山西省煤炭价格指数与经济变量之间存在协整关系;2在预测期内,山西煤炭价格波动对CPI和PPI影响较大,且长短期均为正向影响作用;对GDP影响较小,具有短期的正向影响作用和长期的负向影响作用;3从影响程度来看,煤炭价格波动对PPI影响程度最大,其次CPI,影响最小的是GDP。
The empirical analysis of coal price fluctuation on economic variables was conducted, using impulse response function and variance decomposition method, with VAR model established through cointegration test, based on Shanxi coal price index and economic variables. The results show that: ( 1 ) there is a eointegration relationship between coal price index and economic variables in Shanxi Province; (2) In the forecast period, the coal price fluctuations positively impact CPI and PPI in short - term and long - term ; while the impact on GDP is less obvious, which is positive in short - term and negative in long - term; ( 3 ) The impact of coal price fluctuation on PPI is the maximum, followed by the CPI, and that on GDP is the minimum.
出处
《煤炭工程》
北大核心
2015年第6期143-145,共3页
Coal Engineering
关键词
煤炭价格波动
协整检验
VAR模型
脉冲响应
方差分解
coal price fluctuation
cointegration test
VAR model
impulse response function
variance decomposition