中国动力煤期货价格发现研究

中国动力煤期货价格发现研究摘要近年来，随着国家宏观调控的逐步推进，煤炭从国家“计划煤”时代走向目前完全的市场化状态，受国家宏观经济、去产能和环保检查等因素影响，市场化以后煤炭市场与前些年相比，价格震动幅度明显加大，波动周期也明显缩短，这些市场波动给煤炭生产企业、下游电力等用户及贸易商开展经营管理带来更多不确定性。与此同时，具有价格发现功能的动力煤期货产品于2013年在郑州商品交易所上市，作为一款期货产品，我们知道期货基本的一个功能就是价格发现。那么，动力煤期货与现货价格在实际运行过程中存在哪些定性、定量的关系，如何运用一些理论和数据模型来发现这些规律，并且运用这些规律，让政府采取措施加强宏观调控，企业更好的投资决策、开展生产经营活动，目前这些问题还不能确切的进行解释，因此，本文将通过一定的方法予以分析研究。本文首先对期货市场及价格发现功能做了简要介绍，随后就动力煤的概念、影响动力煤现货和期货价格的因素做了具体说明，并介绍动力煤期货合约的相关内容。接着，选取2017年6月5日至2018年12月10日汾渭能源CCI5500大卡国内产地现货含税价和期货主力合约收盘价作为样本，由于是时间序列方面的问题，本文配合EViews软件的使用，它是目前分析时间序列问题应用最多的计量经济工具软件之一，首先对动力煤期货和现货价格时间序列特征进行描述，紧接着利用单位根检验方法，进行平稳性分析，在动力煤期货和现货价格确定存在是一阶单整序列后，利用最小二乘法进行回归，并对残差序列进行自回归Q的检验，随后通过Granger因果关系检验，确定动力煤期货和现货价格之间的因果相互关系，最后利用方差分解法量化这两者相互影响的比例关系。通过上述结果分析发现，动力煤期货价格对现货价格具有价格发现功能，反之，现货价格对动气煤期货的影响并不大。根据以上研究结果，本文对于企业开展套期保值提出合理建议，指导企业开展业务，从而实现盈利最大化。关键词：动力煤期货，动力煤现货，价格发现，因果关系ABSTRACTWith the gradual advancement of national macro-control in recent year,Coalindustry has been entered the current fully market-oriented state from the NationalPlanned Coal era to.Affected by national macro-economy,capacity removal andenvironmental protection inspection,etc,compared with previous years,the coal pricehas shocked and increased significantly.The fluctuation cycle is also significantlyshortened.These market fluctuations bring more uncertainties to coal productionenterprises,downstream power users and traders in their operation and management.Meanwhile,the power coal futures products with price discovery function were listedon the Zhengzhou Commodity Exchange in 2013.As a futures product,we know thatthe basic function of futures is price discovery.Then,what are the qualitative andquantitative relationships between power coal futures and spot prices in the actualoperation process,and how to use existed theories and data models to discover theselaws,which could help the government take measures to strengthen macro-control,sothat enterprises could decide investment,production and operation activities moreeffectively.these problems can not be accurately explained based on currentcondition.Therefore,this thesis will do some analysis and research.Firstly,this paper briefly introduces the futures market and its function pricediscovery,and then explains the concept of power coal,the factors affecting the spotand futures prices of power coal,and introduces the relevant contents of power coalfutures contracts.Then,the spot tax price and the closing price of main futures contractsof Fen Wei Energy CCI5500 from June 5,2017 to December 10,2018 are selected assamples.Because of the time series problem,this paper cooperates with EViewssoftware,which is one of the most widely used econometric tools for time being.Firstly,when analyzing the futures and spot prices of power coal,the paper uses EViewssoftware to analyze the time series problem.The characteristics of inter-series aredescribed,and then the stationary analysis is carried out by unit root test.Afterdetermining the existence of the futures and spot prices of power coal