我国动力煤期现货价格引导关系检验研究——基于滚动窗口因果关系方法分析

Studyon the Inspection of Lead Relation between Thermal Coal Futures and its Spot in China——Based on the rolling-window causality method

动力煤作为我国最主要的能源类大宗商品,某种程度上成为我国经济运行走势的先导。本文选取2013年9月26日至2019年2月28日动力煤期货活跃合约结算价格与动力煤现货价格的日度数据,对动力煤期现价格之间的互动关系进行了实证检验。结果表明:在静态样本区间上,动力煤期货价格引导现货价格,动力煤现货具有价格发现功能;在动态样本区间上,动力煤期现价格间的引导关系具有显著的时变特征。并基于实证结果,为动力煤市场进一步发展提出重视期货价格的信息研究、构建多层次保证金体系制度及完善品种合约设计等建议。

As the most important energy commodity in China, thermal coal has become the leader of China’s economic operation to some extent. This paper selects the daily data of the active contract settlement price of thermal coal futures from September 26, 2013 to February 28,2019 and the spot price of thermal coal, and empirically tests the interaction between the spot prices of thermal coal. The results show that in the static sample interval, the thermal coal futures price guides the spot price, and the thermal coal spot has the price discovery function;in the dynamic sample interval, the guiding relationship between the spot prices of the thermal coal period has significant time-varying characteristics. Based on the empirical results, the author puts forward the information research on the futures price, the construction of the multi-level margin system and the improvement of the variety contract design for the further development of the thermal coal market.