不同船型干散货运价联动

Lead-Lag and Volatility Spillover Among Dry Bulk Shipping Freights

为研究海岬型船、巴拿马型船、超灵便型船和灵便型船国际干散货运价的联动关系,建立自回归分布滞后(Autoregressivessive Distributed Lag,ADL)模型和动态条件相关系数多元随机波动率(DCC-MSV)模型,分别分析运价的领先滞后关系和风险传导过程。采用2009—2014年的数据做实证分析发现:海岬型船运价引导巴拿马型船运价,巴拿马型船运价引导灵便型船和超灵便型船运价,灵便型船运价和超灵便型船运价间存在较强的相互引导关系;海岬型船向巴拿马型船溢出运价波动风险,超灵便型和灵便型船相互溢出运价波动风险。

The Autoregressive Distributed Lag （ADL） model and the Dynamic Conditional Correlation Multivariate Stochastic Volatility （DCC-MSV） model are respectively adopted to detect the Lead-lag correlation of return and volatility spillover effect among international dry bulk shipping markets. The empirical results suggest that the return of BCI lead BPI, which lead both BSI and BHSI, while the return of BSI and BHSI lead each other. The Volatility Spillover from BCI to BPI, while that of BSI and BHSI Spillover to each other.