我国焦炭期货价格影响因素的实证分析

发布时间：2018-06-19 21:02

本文选题：焦炭期货 + 焦煤期货价格　；参考：《山西财经大学》2017年硕士论文

【摘要】：焦炭属于大宗商品的一种,是焦煤经过化学加工后的产品,其上游产业涉及到焦煤产业,下游产业与钢铁业相关。大部分焦炭都被用来高炉炼铁,它是最重要的一种原料,被喻为钢铁行业的“基本食粮”。我国是世界上焦炭产量第一大国,每年出口焦炭价值近千亿元以上,争取焦炭产品定价权对于我国经济发展有很大的促进作用,焦炭产品的战略价值不言而喻。但是最近这几年,我国焦炭产能严重过剩,焦炭价格也频繁波动,因此焦炭市场风险很大。期货的基本功能之一就是规避市场风险,研究焦炭期货价格的影响因素对于我国经济发展具有重要的推动意义,通过焦炭期货稳定焦炭价格也关系到居民生活和工业生产等多个方面。本文的研究对象主要为焦炭期货价格,论文首先介绍了期货价格的理论基础,接着定性分析了焦炭期货价格的影响因素,最后构建连续的价格时间序列。焦炭期货价格的影响因素涵盖了宏观因素、焦炭供求因素和焦炭市场因素等。分析宏观因素对焦炭期货价格的影响时从我国国家政策和相关金融市场状况两方面着手。焦炭供求关系对焦炭期货价格的影响过程涵盖了焦炭生产、消费、价格、库存和流通五大方面。影响焦炭期货价格的市场因素主要包含上游焦煤市场和下游钢铁市场。本文运用VAR模型检验对焦炭期货价格的形成进行了分析,同时使用Granger因果检验、构建脉冲响应分析、方差分解等方法实现对焦炭期货价格影响因素之间的动态均衡分析。进行实证研究后发现:(1)影响我国焦炭期货价格最大的因素是焦煤期货价格,二者之间的相关关系很强;(2)我国焦炭期货价格受到焦炭现货价格的短期影响是有限的;(3)汇率对于我国焦炭期货价格之间的影响也较为显著。国内外学者对期货价格影响因素的研究多停留在农产品和有色金属上,对焦炭期货价格影响因素的研究属于较新的课题,本文从多方位研究焦炭期货价格的影响因素,并在此基础上,建立多元时间序列模型来定量考察不同因素对焦炭期货价格的影响程度。在我国进行供给侧改革后研究焦炭期货价格影响因素涉及到不同于以往的许多新命题,本文将更加深入和针对性的研究焦炭期货的价格发现功能。
[Abstract]:Coke is one of the major commodities, which is the product of coking coal after chemical processing. The upstream industry relates to the coking coal industry, and the downstream industry is related to the steel industry. Most coke is used in blast furnace ironmaking, which is the most important raw material and is regarded as the "basic food" in the steel industry. China is the largest country in coke production in the world, and the annual export value of coke is more than 100 billion yuan. Striving for the pricing right of coke products plays a great role in promoting the economic development of our country, and the strategic value of coke products is self-evident. However, in recent years, the coke production capacity in China is seriously overcapacity and the coke price fluctuates frequently, so the coke market is very risky. One of the basic functions of futures is to avoid market risks. It is of great significance to study the influencing factors of coke futures prices for the economic development of our country. Coking futures to stabilize coke prices is also related to residents' lives and industrial production. The main research object of this paper is the coke futures price. Firstly, the paper introduces the theoretical basis of the futures price, then qualitatively analyzes the influencing factors of the coke futures price, and finally constructs a continuous price time series. The influencing factors of coke futures price include macro factors, coke supply and demand factors and coke market factors. This paper analyzes the influence of macro factors on coke futures price from two aspects: national policy and related financial market. The influence of coke supply and demand on coke futures price includes five aspects: coke production, consumption, price, inventory and circulation. The market factors affecting the coke futures price mainly include the upstream coking coal market and the downstream steel market. In this paper, VAR model test is used to analyze the formation of coke futures price. At the same time, Granger causality test, impulse response analysis and variance decomposition are used to realize the dynamic equilibrium analysis of the influencing factors of coke futures price. After an empirical study, we found that the biggest factor affecting the price of coke futures in China is the price of coal futures. The correlation between the two is very strong. 2) the short term influence of the coke futures price is limited by the spot coke price in China. The exchange rate also has a significant effect on the coke futures price in China. The research on the influencing factors of the futures prices of domestic and foreign scholars mostly stays on the agricultural products and non-ferrous metals, and the research on the influencing factors of the coke futures prices is a relatively new subject. This paper studies the influencing factors of the coke futures prices from various aspects. On this basis, a multivariate time series model is established to quantitatively investigate the influence of different factors on coke futures prices. After the supply-side reform in China, the research on the influencing factors of coke futures price involves many new propositions which are different from the previous ones. This paper will study the price discovery function of coke futures more deeply and pertinently.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F724.5;F767

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