Empirical Analysis On The Factors Affecting Coke Futures Price

Coke is one of the important products of coal chemical industry,which is also the important commodity and is closely related to the coal industry,the iron and steel industry.Metallurgical coke has become one of the necessary raw materials of modern iron making technology,called the "basic food" of the iron and steel industry,which has important strategic value and economic significance.Our country has become the largest producer and consumer of coke in the world.The size of the coke market has achieved more than 700 billion.In recent years,overcapacity and higher volatility have brought significant market risk.As one of the most important energy,the stability of coke price is related to many aspects of macroeconomic,such as industrial production and life of local residents.Futures can hedge market risk while the spot market is in the recession.The research object of this paper is coke futures prices.At first,the theory basis of the formation of the futures price is introduced.Then the influence factors of coke future prices are analyzed qualitatively.Finally continuous price time series are built.These factors mainly include the macroeconomic factors,supply and demand of coke,market factors of coke.The influences of macroeconomic factors on coke futures price include national policy and financial market conditions.The influence process of supply and demand of coke covers five aspects including production,consumption,price,inventory and circulation.The factors affecting coke futures market mainly contain the upstream market and the downstream market.The formation of coke futures is analyzed by VAR model test,at the same time the dynamic equilibrium between coke futures price and influential factors is analyzed using the Granger causality test,impulse response analysis and variance decomposition methods.In the process of empirical research,the conclusions are:(1)Coke futures price is strongly related to coking coal futures.(2)Coke spot products have limited influence in the short term.(3)Rate also has remarkable influence of coke futures price.The foreign and domestic research on the influence factor of the futures price also stay on agricultural products and non-ferrous metals,the study of factors affecting coke futures price belongs to a new topic,this paper from many aspects study the influence factors of coke futures price,and the multivariate time series model is established to quantitatively investigate the influence of different factors on coke futures price.The research of influence factors of coke futures price after the reform of the supply side involves many different new propositions.More in-depth and targeted research of coal futures price discovery function is done.