铁路运输与动力煤期货价格波动的动态关系研究——基于SVAR模型的实证分析

Research on the Dynamic Relationship between Railway Transportation and Futures Price Fluctuation of Power Coal——Based on the Empirical Analysis of SVAR Model

在构建SVAR模型的基础上,依据相关性检验、协整检验、脉冲响应和方差分解等方法分析铁路运输等影响因素与动力煤期货价格波动之间的动态关系。结果表明,煤炭现货价格、铁路运量、社会库存、发电量与动力煤期货价格之间存在长期均衡的协整关系。煤炭现货价格对动力煤期货价格的冲击在短期影响较小,中期影响较大。煤炭社会库存作为动力煤期货市场广泛使用的先行指标,中长期影响较大。而煤炭铁路运量对动力煤期货价格的中长期影响也不容忽视,可以作为动力煤期货市场中长期预测的补充依据。

By building SVAR model,this paper analyzes the dynamic relationship among the impacting factors such as railway transportation etc.with power coal futures price fluctuation according to relativity test,cointegration test,pulse response and variance decomposition.The results reveal that the coal spot price,railway transportation volume,social inventory,power generation capacity have a long run balanced co-integration relationship with power coal futures price.The shock of coal spot price on power coal futures price has smaller impact in the short term and larger influence in the middle term.The social inventory of coal,as the extensively applied leading indicator in power coal futures market,the impact in middle-long term is larger.Moreover,the middle-long term impact of railway transportation capacity of coal on the coal futures price cannot be ignored,and it can be acted as the supplementary accordance for the middle-long forecast of power coal futures market.