动力煤期货和现货价格关联性的实证研究

An empirical study on the correlation between future and spot prices of thermal coal

基于动力煤期货自上市以来的发展历程,选取2015—2020年相对发展成熟阶段的历史数据,依据协整理论,先后采用平稳性检验、协整关系检验、因果关系检验等,对动力煤期货和现货价格的关联性进行实证研究。研究表明:动力煤期货和现货价格之间存在着长期均衡关系,动力煤期货价格是现货价格的Granger原因,对现货价格具有引导和预测功能,而现货价格不是期货价格的Granger原因。动力煤期货价格对现货价格的影响力,随着滞后阶数的增加而增加,在现实经济中表现为动力煤期货和现货价格的涨跌惯性非常好,趋势性比较强。但在外部强制性的行政干预下,动力煤期货和现货价格之间的长期均衡关系会遭到破坏,如果短期内均衡状态无法修复,就不存在长期均衡关系。

Based on the development process of thermal coal futures since its listing,this paper selects the historical data of the relative mature stage from 2015 to 2020.This paper uses stationary test,cointegration test and causality test to make an empirical study on the correlation between future and spot prices of thermal coal according to the cointegration theory.The results show that there is a long-term equilibrium relationship between future and spot prices of thermal coal;future price is the Granger cause of spot price,which has the function of guiding and forecasting spot price,but spot price is not the Granger cause of futures price.The influence of thermal coal futures price on spot price increases with the increase of lag order.It means that in the real economy,thermal coal futures and spot prices have very good inertia and strong trend.However,under the external mandatory administrative intervention,the long-term equilibrium relationship between future and spot prices of thermal coal will be destroyed.If the equilibrium state can not be repaired in a short-term,there is no long-term equilibrium relationship between the future and spot prices of thermal coal.