自然资源学报

自然资源学报 ›› 2013, Vol. 28 ›› Issue (6): 911-921.doi: 10.11849/zrzyxb.2013.06.003

• 资源利用与管理 • 上一篇    下一篇

能源资源价格长期关系与短期动态调整研究：1985—2011年

张坤, 张丽颖, 赵玉, 曾昭志, 温建中   

  1. 东华理工大学地质资源经济与管理研究中心, 江西 抚州 344000
  • 收稿日期:2012-06-04 修回日期:2012-11-06 出版日期:2013-06-20 发布日期:2013-06-20
  • 作者简介:张坤(1973- ),男,河北滦县人,副教授,博士,研究方向为能源资源经济与管理。E-mail:kzhang@ecit.cn
  • 基金资助:

    国家社会科学基金项目(12BJY122);江西省高校人文社科重点研究基地招标项目(JD1044,JD1147,JD1148);江西社会科学规划项目(11GL13)。

Long-run Relationships and Short-run Dynamics among Coal, Natural Gas, Uranium and Oil Prices：1985-2011

ZHANG Kun, ZHANG Li-ying, ZHAO Yu, ZENG Zhao-zhi, WEN Jian-zhong   

  1. Center of Geological Resource Economics and Management Research, East China Institute of Technology, Fuzhou 344000, China
  • Received:2012-06-04 Revised:2012-11-06 Online:2013-06-20 Published:2013-06-20

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摘要：

为探讨国际市场上主要能源资源价格之间的长期均衡关系和动态调整规律,论文利用国际货币基金组织官方网站提供的自1985年到2011年的数据,建立向量自回归(VAR)和向量误差修正(VEC)模型,对当前四大主要能源资源煤、石油、天然气和铀的价格序列展开研究。结果表明:①4种主要能源资源价格之间存在稳定的长期均衡关系:铀价格每变化1%,将使煤和天然气的价格分别反向变动2.11%和7.10%,使石油的价格正向变动7.97%。②4种主要能源资源产品价格均会对自身新信息立即产生大幅度反应,但持续时间差异很大:铀在15个月内只有微弱降幅,而煤在6个月,石油在2个月后即开始迅速减弱,天然气则是直接进入下降趋势。③除天然气在长期内会受到石油价格的显著影响外,铀、煤和石油的价格波动主要由自身因素形成。④天然气的误差修正项具有显著的负向调节作用,价格偏离长期均衡关系时,能够很快得到纠正。煤、石油和铀的误差修正项系数很小,且石油和铀不具有任何显著性,说明石油和铀不具备短期动态调节能力。

关键词: 能源资源, 能源价格, VAR模型, 协整检验, VEC模型

Abstract:

To examine long-run relationships and short-run dynamics of prices among the four energy resources, including coal, natural gas, uranium and crude oil in the international market, the paper uses the monthly data of IMF from 1985 through to 2011, separately constructs a VAR and a VEC model. The results include: 1) there is a permanent relationship among four energy resources in the long run: so far the price of uranium changes by 1%, it will lead to price of coal and natural gas negatively change 2.11% and 7.01% respectively, and price of oil positively change 7.97%. 2) The result of impulse response analysis on the energy resources indicates that they all react immediately to innovations of themselves to a large extent. However, the durations are different at all: to uranium, a little bit fade only till the 15 months end, while coal and oil goes down after 6 and 2 months later, respectively, and natural gas plummets in no time. 3) Except that the variance of natural gas can be decomposed into variance of natural gas and oil with the ratio of nearly 70:30 at the end of 15 month, the variance of uranium, coal and oil price almost comes from themselves. 4) The coefficient of natural gas is big and negative, with significant statistics. It means that the deviation of natural gas price would be corrected in the short run. However, the coefficients of coal, oil and uranium are very small, and the ones of oil and uranium are not significant. So, oil and uranium price doesn't have any ability of dynamic adjustment.

Key words: energy resource, energy price, VAR model, Cointegration Test, VEC model

中图分类号: 

  • F224