摘要
煤炭对于现代化工业发挥着重要作用,被人们称为工业"真正的粮食"。本文选取2013年8月—2019年2月中国A股煤炭与消费用燃料股票类指数作为煤炭股指数,深圳碳排放权交易价格作为国内碳市场价格,构建VAR模型分析煤炭股指数与碳市场价格之间的动态关系。实证结果表明:碳市场价格与煤炭股指数呈现出明显的双向格兰杰因果关系,且两者之间存在长期协整关系。短期内,碳市场价格受煤炭股指数影响显著,碳市场价格上涨会使得煤炭股指数下降;长期来看,二者之间处于动态均衡状态。
Coal plays an important role in modern industry and is known as the"real food"of industry. This paper selects China's A-share coal and consumer fuel stock index as the coal industry index from August 2013 to February 1919. Shenzhen carbon emission trading price is used as the domestic carbon market price, and the VAR model is constructed to analyze the coal industry index and carbon. The dynamic relationship between market prices. The empirical results show that the carbon market price and the coal industry index show obvious two-way Granger causality, and there is a long-term cointegration relationship between the two. In the short term, the carbon market price is significantly affected by the coal industry index, and the carbon market price increase will cause the coal industry index to decline; in the long run, the two are in a dynamic equilibrium state.
引文
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