期现结合背景下的煤炭价格机制研究

Research on coal price mechanism under the background of combination of futures and spot

深入分析了现货、中长期合同和期货定价的优劣势,并对国外期现结合的典型案例进行了剖析,进一步采用向量误差修正模型、状态空间模型和永久暂存(PT)模型研究煤炭期货和现货市场联动关系和期货对现货的价格发现能力。研究结果表明,国内外大宗商品已经在期现结合定价方面已有成功经验,我国煤炭期现价格间存在很强的相关性,期货与CCI价格指数间相关性更强,期货的价格发现率处于较高水平。推动期现结合的定价方式需要持续完善期货市场建设,推动大型煤炭生产和消费企业进入期货交易市场、引导企业构建期货业务管理体系、探索“煤炭期货+商业储备”新模式、建立基于期货价格波动的动态供需调整机制、研究制定具体的期现结合定价公式。

The paper deeply analyzes the advantages and disadvantages of spot,medium and long-term contract and futures pricing,and analyzes the typical cases of foreign futures and spot.Further,the vector error correction model,state space model and permanent temporary(PT)model are used to study the linkage relationship between coal futures and spot market and the price discovery ability of futures to spot.The results show that the current domestic and foreign commodities have successful experience in the combination of futures and spot pricing.There is a strong correlation between the futures and spot prices of coal in China.The correlation between futures and CCI price index is stronger,and the price discovery rate of futures is at a high level.The pricing method of promoting the combination of futures and cash needs to continuously improve the construction of futures market,promote large-scale coal production and consumption enterprises to enter the futures trading market,guide enterprises to build futures business management system,explore the new model of'coal futures+commercial reserve',establish a dynamic supply and demand adjustment mechanism based on futures price fluctuations,and study and formulate specific futures and cash pricing formulas.