摘要
波罗的海运价指数BD I是综合反应干散货航运市场运价总水平的指标,在众多的运价指数中占有公认的主导地位。本文以BD I运价指数为研究对象,通过协整研究,证明了BD I运价指数与BC I4条样本航线期租价格之间稳定的联动关系,并且给出了它们的误差修正模型。
The BDI is an important integrated guideline on general level of dry bulky transports market. It is recognized as a dominating index among similar indexes. In this paper we investigate the BDI using the method of co-integration and Granger-causality test in the times serials analysis,our conclusin os that between the BDI and BCI4 has a steady linking relationship, and then we give the ECM.
出处
《数理统计与管理》
CSSCI
北大核心
2006年第3期293-296,共4页
Journal of Applied Statistics and Management
基金
上海市高科技发展基金资助(项目编号:021K02)
项目名称:航运运价指数期货的体系及其内在机理的基础研究资助
关键词
运价指数
协整
误差修正模型
期租
Baltic Freight Index
Co-integrated
Error Correvtion Model
Time Charter
