煤炭期货价格和现货价格的联动性效应的分析

Analysis of the Linkage Effect Between Coal Futures Price and Spot Price

为验证煤炭期货价格和现货价格之间存在长期稳定关系的观点,本文在理论分析的基础上,采用了协整验证、因果关系验证和状态空间模型对煤炭期货价格和现货价格的联动性效应展开分析,发现二者间存在正相关关系,期货价格对现货价格的影响更加显著,呈现出非对称的联动性效应。

To verify the view that the coal futures price and spot price there is a long-term and stable relationship,and on the basis of theoretical analysis,this paper uses co-integration test and causality test and the state space model for coal correlation effect of the futures price and spot price analysis,and found that there is a positive correlation relationship between the two,the futures price have more significant impact on spot prices,which presents the asymmetric correlation effect.