我国煤炭价格波动性及国内外非对称传导效应的研究

基于2005年1月至2016年3月的月度数据,采用H-P滤波对煤炭价格波动周期进行分析,结果表明2005年至2011年煤价持续增长,2012年至今价格持续大幅度下降;循环波动大约在正负10%以内,从每年的第三个季度到下一年的第三个季度呈“开口向下的抛物线”。然后,运用非线性自回归分布滞后模型研究国际煤炭价格对我国煤炭价格的非对称传导效应,结果表明国际煤炭价格对我国煤炭价格存在短期非对称影响效应,即与国际煤炭价格上涨相比,国际煤炭价格下降时对国内煤炭价格的影响更加显著;而长期内国际煤炭价格对国内煤炭价格并不存在非对称影响效应,表明我国基本实现了煤炭能源市场化,为煤炭行业的未来发展提供了科学依据。

Study on the Volatility Characteristics of Chinese Coal Prices and Asymmetrical External Conduction Effect at Home and Abroad

Based on the coal price monthly data from January 2005 to March 2016, we use the H-P filter to analyze the period of coal price fluctuations. The results show that price continued growth from 2005 to 2011, price has continued to decline since 2012; and cyclic fluctuations about within plus or minus 10%, from the third quarter of the year to next year''s third quarter shows "open downward parabola". Then, we apply the nonlinear autoregressive distributed lag (NARDL) model to study the asymmetric transmission effect of the international coal price on the Chinese coal price, discovered the existence of a short-term relationship between Chinese coal asymmetric price and international coal price, namely the effect of international coal price decline on Chinese coal price is far greater than the rise; In the long term, the international coal price has no effect on the domestic coal price, which shows that the coal energy market has been basically realized and provides a scientific basis for the future development of the coal industry.