基于变点模型的我国煤炭价格波动特征研究

The Study on Characteristics of Coal Price'S Volatility Based on Change-Point Models

分析了我国煤炭价格形成机制的长期演变趋势,利用秦皇岛大同优混煤2003年3月至2015年3月每周的平仓价格数据,采用结构变点检验分析法,实证研究了煤炭价格的波动规律.研究结果表明:煤炭价格呈现出显著的强持久性、高波动性和高强度跳跃性的市场特征.当存在突发事件时,变点模型能较好地拟合煤炭价格的变动过程.注意到,煤炭价格波动性主要由市场供需关系所决定,预计煤炭供大于求的阶段性状态仍会延续,煤炭价格将持续走低.最后提出了相应的对策与建议.

This paper analyzes the evolution process of coal price formation mechanism and the trend of dynamic weekly closing data of Datong quality mix coal in Qinhuangdao market from March 2003 to March 2015. Resorting to the structural breaks test methods, the empirical study on the phenomenon of coal price fluctuations is executed. The results show that if abrupt events are present, the change-point models can better fit the changing tendency of coal price, which is characterized by strong persistence, high volatility and high intensity jump. Furthermore, in the view of the volatility of coal price mainly determined by market supply and demand, it is predicted that the market will keep periodical characteristics of oversupply, and coal price will continue to decline in the next several weeks. Finally, the corresponding countermeasures and suggestions are also putted forward.