甲醇期货替代动力煤期货进行动力煤套期保值的实证研究

Empirical study on methanol futures replacing steam coal futures for steam coal hedging

通过对煤制甲醇的煤化工产业链发展进行梳理,选择2020-2022年的动力煤期货和甲醇期货数据作为研究样本,先后通过平稳性检验、协整关系检验、因果关系检验等方式,建立关于动力煤期货和甲醇期货的VAR模型,并通过脉冲响应函数和方差分解,对动力煤期货和甲醇期货的冲击效应、影响程度进行分析。结果表明,动力煤期货价格和甲醇期货价格存在协整关系的假设成立,二者具有长期稳定的均衡关系;动力煤期货价格和甲醇期货价格互为Granger因果关系,可以相互影响;在煤炭偏紧格局下,动力煤期货在二者关系中处于主导地位,动力煤期货更能影响甲醇期货,最后提出了相关建议。

Based on reviewing the development of coal chemical industry chain of coal to methanol,this paper selects steam coal futures and methanol futures from 2020 to 2022 as research samples,a VAR model of steam coal futures and methanol futures is established by using stationary test,cointegration test and causality test,and the impact effect and influence degree of steam coal futures and methanol futures are analyzed through impulse response function and variance decomposition.The results shows that there is a cointegration relationship and a long-term stable equilibrium relationship between steam coal futures price and methanol futures price;steam coal futures price and methanol futures price are Granger causality for each other and can affect each other;if the steam coal supply is insufficient,steam coal futures is more dominant and influential between the two futures,then relevant suggestions are given.