摘要
针对干散货远期运费市场特征,研究不同航线远期运费协议与即期价格的关系,旨在发现远期运费市场与即期市场的关系以及影响机理.选择C3和P3A两条航线,建立向量自回归(VAR)模型,进行Granger因果关系检验,研究不同结算日期的远期运费协议与即期价格的关系.实证分析结果表明,不同航线远期运费市场与即期市场的关系不同,同一航线、不同结算日期的远期运费协议对即期价格的影响不同.研究结果可为相关企业制定套期保值与市场交易策略提供依据.
In order to find the relation and influence mechanism between forward and spot freight markets,the relation between forward freight agreement（FFA） and spot price was studied considering the characteristics of bunker forward freight market.Taking C3 and P3A shipping line as examples,the vector autoregressive model（VAR） and Granger test were used to study the relation of FFA with different settlement time and spot price.Results indicate that the relation between forward freight and spot freight market is different for different shipping lines,for FFA with different settlement time.The research results can provide basis for related companies to select proper hedging and trading.
出处
《大连海事大学学报》
CAS
CSCD
北大核心
2012年第1期50-54,共5页
Journal of Dalian Maritime University
基金
国家自然科学基金资助项目(71701012)
教育部人文社科基金资助项目(09YJC630014)
中央高校基础科研业务费(2009QN079)
