FFA市场与二手船市场的波动溢出效应

Volatility Spillover Effects Between Forward Freight Market and Second-hand Ship Market

文中采用Johansen协整检验和Granger因果关系检验,对FFA成交价格与二手船市场成交价格进行了相关建模分析,从而分析航运市场中的远期运费市场和二手船市场之间存在着波动溢出关系.考察了远期运费市场(FFA)与二手船市场的关系.实证分析说明,证实了FFA市场对二手船市场存在因果关系,具有较强的引导作用,二手船市场会受到FFA价格变化及其过去行为的影响,理解两者之间的相关性有助于船运公司和政府等部门做出更好的决策.

For analysing the relationship between forward freight market and second‐hand ship market in the shipping market ,we using the Johansen co‐integration test and Granger causality test method to test the volatility spillover effect between FFA market and second‐hand ship market .And explore the relationship between forward freight market （FFA） and second‐hand ship market .The empirical anal‐ysis show s that ：FFA market has a has a strong guiding role to the secondhand ship ,second‐hand ves‐sel market will be affected by FFA price and the impact of past behavior ,understanding the relation‐ship between these two markets can help shipping companies and government making better decisions .