A Research On Double-Factor Risk Of Coal-Fired Power Generation Project And The Hedging Models Of Futures

Coal-fired power generation projects refer to coal-fired power generation units under planning,construction and operation.Since coal fuel accounts for about 70%of the operating cost,more than 70%of China's coal production is used for power generation,and coal-fired power generation accounts for more than 70%.The fundamental problem of the "three 70%" is coal.Therefore,from the macro level,how to allocate and make efficient use of coal resources effectively and how to adjust the energy structure are important issues.On the micro level,the increase in the frequency and amplitude of price fluctuations has brought certain impacts.It is an important issue to study the law of change of coal market supply and demand and how to avoid the operational risk brought by the fluctuation of coal price.Under the guidance of the policy program of national supply-side structural reform,thermal power project faces hard constraints.On the contrary,the installed capacity of new energy is developing quickly.However,the instability of hydropower generation cause variation risks to the stable output of coal-fired power generation projects.In this paper,the impact of coal price fluctuation,substitution of new energy power generation and instability on coal-fired power generation is defined as the risk of double-factor variation.From the perspective of thermal coal futures tools,this study mainly studies the countermeasures and methods to mitigate the double-factor risks.From both theoretical and empirical aspects,this study deeply explores the economic theoretical and quantitative relations between the fluctuation of coal price,the change of new energy power generation and the power of coal-fired power generation.In terms of theory,the state space model theory,which is advanced in price fluctuation theory,is adopted to analyze the characteristics of the relationship between coal price and coal-fired power generation,new energy power generation and coal-fired power generation,and coal price and social coal inventory.Appropriate state space model types are selected to build a perfect analysis model.In the empirical aspect,based on the historical data of coal price index,coal social inventory,new energy power generation and coal-fired power generation over ten years,four econometric theoretical models were constructed through rigorous econometric analysis,and the correctness of the economic models of double-factor variation risk and futures hedging strategy was tested.Based on the state space model theory and financial futures theory,this paper constructs the optimal ratio model of coal spot and futures inventories and the double-factor variation risk futures hedging model,which provides a theoretical basis for the effective utilization of coal futures hedging strategy for coal-fired power generation projects.According to the state space model theory,quantitatively analyze the quantitative relationship between China's coal price,new energy power generation,social coal inventory and thermal power generation,to avoid the coal price fluctuation risk and reduce the production and operation cost.Based on the above thoughts and ideas,the research content includes the following five main parts:(1)The causes of double-factor variation risk.Combined with literatures and production practice,this paper deeply analyzes the operation and management problems in the construction and operation and several factors which cause fluctuations in the price of coal.At the same time,the cause of substitution of new energy power generation and power output instability are studied,which are defined as "double-factor" and"double-factor variation risk".(2)The basic theories supporting this research are summarized.The theory of economic fluctuation and price fluctuation is introduced into the analysis of the price fluctuation of coal spot market and futures market.Based on the economic filtering theory,the economic variables are filtered and sorted.Futures hedging theory provides theoretical support for the core issue.State space model theory is the main theoretical basis and technical means of model construction.(3)Identification of double-factor variation risk and influential factors.This paper carries out risk analysis from two aspects of supply and demand.On the supply side,coal price volatility is the main factor.On the demand side,in terms of volatility,the instability of new energy generation is the main factor.In this paper,the two variable risks of coal price fluctuation and new energy power generation instability are defined as the"double-factor variation risk".(4)Construction of futures hedging model for double-factor variation risk.Using the state space model theory,this paper constructs the theoretical model of coal price impact on thermal power generation and inventory,and new energy impact on the coal-fired generation,establish the coal spot actual and virtual inventory theory model,double-factor risk futures hedging strategy are obtained.(5)Model empirical research and case application analysis.The empirical model of coal price--coal power generation,new energy--coal power generation,coal price and new energy--coal power generation,coal price--coal social stock is established.Finally,a case in jiangsu is selected to verify the rationality and effectiveness of the analysis method and model.It provides theoretical basis and practical guidance for the similar operation of coal-fired power generation projects in China.