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选取2008年~2016年时间序列数据,在协整分析基础上建立向量自回归VAR模型,综合运用误差修正模型、Granger因果关系检验、脉冲响应函数等研究方法,就我国煤炭进口量对国际煤炭价格影响的效应进行实证分析。结果表明:从长期来看,中国煤炭进口量和国际煤炭价格之间存在长期均衡协整关系;从短期来看,我国煤炭进口量和国际煤炭价格之间存在双向Granger因果关系,我国煤炭进口量的当期波动对国际煤炭价格具有显著影响,我国煤炭进口量短期内可以促使国际煤炭价格上涨,但随着时间推移国际煤炭价格涨幅将逐步缩小。
The time series data from 2008 to 2016 are selected to establish vector autoregressive VAR model on the basis of cointegration analysis. By using error correction model, Granger causality test, impulse response function and other research methods, this paper analyzes the impact of China’s coal import on international coal price Effect of the impact of empirical analysis. The results show that in the long run, there is a long-term equilibrium cointegration relationship between China’s coal imports and international coal prices. In the short run, there is a two-way Granger causality between China’s coal imports and international coal prices. China’s coal imports Of the current fluctuations have a significant impact on international coal prices, China’s coal imports in the short term can promote international coal prices, but with the passage of time the international coal price increases will gradually reduce.