基于GSADF方法的煤炭价格泡沫检验及成因分析

Coal Bubble Tests and Cause Analysis Based on GSADF Method

运用GSADF泡沫检验方法对中国煤炭价格进行了实证检验,研究发现在2003年1月至2014年12月间我国煤炭价格经历了两次较为显著的泡沫时期,分别发生于2005年9月至2006年3月与2008年年初至2008年年末。进一步的实证分析表明,原材料库存指数可以作为煤炭价格变动的预警变量,这种预警效果在泡沫时期更加明显。结合国内实际情况进行分析,发现国内煤炭供给、国内煤炭需求、国际能源价格等是影响煤炭价格波动以及泡沫形成的关键性因素。不仅提供了一种灵敏检测煤炭价格泡沫和确定泡沫发生时段的方法,还发现了一种煤炭价格波动的预警变量,并且分析了煤炭市场泡沫生成以及破裂的原因,为投资者提供了一个预警的风向标杆。

Based GSADF provided by Phillips et al. （2012）, this paper tests the data of the commodity retail price index of coal from 2003.1 to 2014. 12. We find the coal price have had obvious bubbles twice during the period, which happen respectively from 2005.9 to 2006. 3 and from 2008.1 to 2008.12. Further research finds that inventory index of raw material can be used as the warning variable, and the effect is more obvious during the period of bubble. In the end, the paper taking an analysis combining the real situation finds that the demand and supply about coal, the price of international energy are the critical factors determining volatility of coal price as well as generation of price bubble. This paper not only provides a way of testing the bubble of coal price and confirming the period when the bubble will occur, but finds a kind of warning variable about the volatility of coal price, and analyzes the reason why the bubble will occur and burst, this provides a warning signpost to investors.