Comovement Between Domestic And International Thermal Coal Markets

The rapid development of the world economy has increased the demand for energy, energy problem has become one of the most concerned issue in the world, In recent years, due to the frequent occurrence of oil crisis, coupled with the high prices of oil and natural gas, the coal industry has entered a new period of growth, the world’s coal production, consumption and trade has show a significant growth. China is one of the few countries with the coal as the main energy, and it has been the world’s largest coal producer and consumer. In 2009, China reversed from a net exporter of coal to a net importer, and then surpassed Japan and became the world’s largest coal importer in 2011. At present, the change of Chinese coal production, consumption and trade has a significant impact on the international coal trade, the correlation of Chinese coal price and the world’s coal price is gradually enhanced. Under this background, the research on the relationship between domestic and international coal prices is great theoretical and practical significance to predict Chinese coal price, evade the risk, formulate and control coal policies.Based on the previous researches, we choose to study the comovement of steam coal price between domestic and abroad. The prices of the world’s most important exporters (Australia, South Africa) and importers (China, Europe) on the Pacific and Atlantic markets were chosen to analyze the dependencies. From the empirical analysis with Cointegration test,Granger causality test, VAR model, Spillover index and BEKK-GARCH model, we can draw the following conclusions:(1). There is no significant long-run equilibrium relationship among these coal markets. (2). There are significant mean spillover effects within all steam coal markets. (3). The results of BEKK test show that cross-market bidirectional volatility spillover effects were quite strong.On the basis of empirical research findings, we propose the following policy recommendations:(1) Take advantage of buyer power to fight for coal pricing. (2) Broaden the coal import channels. (3) Improve the coal futures market.