煤炭期货价格波动对我国经济影响研究*
投稿时间:2018-09-05  修订日期:2019-05-23  点此下载全文
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作者单位E-mail
赵修茗 莫纳什大学,澳大利亚 墨尔本 ZXM719719@163.com 
张甜 西安科技大学  
邹绍辉 西安科技大学 zouhaohui@163.com 
基金项目:国家自然科学基金
中文摘要:选取2013年9月至2018年7月之间的周交易数据,构建VAR模型,深入研究了煤炭期货价格与国内经济增长、物价水平、货币总供给量及煤炭行业失业率之间的动态关系。格兰杰因果检验表明:国内煤炭期货价格是经济增长、物价水平及煤炭行业失业率的Granger原因。基于VAR(2)模型的脉冲响应和方差分解分析表明:煤炭期货价格波动会引起物价水平同方向变动;滞后1阶的煤炭期货价格上涨会使得工业增加值增长速度变缓;滞后2阶煤炭期货价格上涨时,货币供给量会增加,滞后2阶的煤炭期货价格上涨时,货币供应量会减少;煤炭期货价格上涨100%会使得行业失业率在第2期下降0.354%,长期来看煤炭期货价格上涨会使得失业率降低,且煤炭期货价格波动对行业就业水平贡献较大。
中文关键词:煤炭期货价格波动  VAR 模型  脉冲响应  经济增长
 
Research on the impact of price fluctuation of coal futures on China
Abstract:Select Choosing weekly trading data from September 2013 to July 2018, this paper constructs a VAR model to study the dynamic relationship between coal futures price and domestic economic growth, price level, total money supply and unemployment rate of coal industry. Granger causality test shows that domestic coal futures price is the Granger cause of economic growth, price level and unemployment rate of coal industry. The impulse response and variance decomposition analysis based on VAR (2) model show that the fluctuation of coal futures price will cause price level to change in the same direction; the rise of coal futures price lagging behind the first order will slow down the growth rate of industrial value-added; when the price of coal futures lags behind the second order, the money supply will increase and the coal lags behind the second order. When futures prices rise, money supply will decrease; coal futures prices rise 100% will cause the unemployment rate of the industry to drop by 0.354% in the second period; in the long run, coal futures prices rise will make the unemployment rate lower, and coal futures price fluctuations have a greater contribution to the employment level of the industry.
keywords:coal future price volatility  VAR model  impulse response  economic growth
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