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Analysis on the Mutation and Time-Varying Characteristics of Coal Price System Evolution from the Perspective of Finance

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Abstract

Coal is essential to ensure China’s energy security. The sudden or gradual change of coal price reflects the degree of disequilibrium or expected disequilibrium of coal supply and demand, which will not be conducive to energy security. Therefore, it is important to analyze the change points of coal price and explore the reason of the price fluctuation. This paper analyses the coal price from January 2008 to June 2019 as the perspective of the financial market. Firstly, the PPM-DBSCAN model is used to identify the mutation point of coal price fluctuation. Secondly, path analysis is used to extract the core driving factors that affect coal price. Thirdly, the authors construct a time-varying and time-lag effect analysis model for structural changes of coal price based on the TVP-VAR model. The results show that there are 11 mutation points of coal price fluctuation. Financial market factors, coal supply and demand and alternative factors are the reasons of coal price mutation. The authors find that the imbalance of coal supply and demand in traditional view cannot fully explain the fluctuation of coal price. The impact of the financial market and non-thermal power generation have more influence on the coal price.

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Authors and Affiliations

  1. School of Economics and Management, Xidian University, Xi’an, 710126, China

    Jian Chai, Junchan Lei, Huiting Shi, Xuejun Zhang & Meiling Lang

Authors
  1. Jian Chai
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  2. Junchan Lei
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  3. Huiting Shi
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  4. Xuejun Zhang
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  5. Meiling Lang
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Corresponding author

Correspondence to Junchan Lei.

Additional information

This research was supported by the National Natural Science Foundation of China under Grant No. 71874133 and “Special Support Program for High-Level Talents” Youth Top Talent Program of Shaanxi Province, China.

This paper was recommended for publication by Editor WANG Jue.

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Chai, J., Lei, J., Shi, H. et al. Analysis on the Mutation and Time-Varying Characteristics of Coal Price System Evolution from the Perspective of Finance. J Syst Sci Complex 34, 1501–1521 (2021). https://doi.org/10.1007/s11424-020-0061-5

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  • DOI: https://doi.org/10.1007/s11424-020-0061-5

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