基于阈值协整检验的班轮运价演化模式

Evolution of Liner Freight Rates Using Cointegration Test with Regime Shifts

在分析非对称班轮运价间关系模式在不同层次需求失衡情况下变化的基础上,对需求失衡导致贸易失衡的临界条件进行理论分析。在实证研究中,首先对全球东西向的3条主要航线往返方向的运量及运价的非对称情况进行分析,进而运用协整模型和阈值协整模型进行验证分析,并进一步识别出每条航线上导致起返程运价非协整关系的贸易失衡比率的临界值点,探究和揭示非对称班轮运价间关系类型的变化规律及其与贸易失衡间的关系。

Asymmetry of liner freight rates is one of the important factors for asymmetric trade costs in international trade—a critical factor in world economic development. This paper analyzes patterns of price asymmetry in liner shipping at different levels of demand imbalances and examines the critical condition when demand imbalance causes trade imbalance. Empirically,asymmetry patterns for the Trans-Pacific,Trans-Atlantic and Euro-Asia routes are identified and tested using a series of time serie models based on the properties derived in theoretical analysis,and the critical trade imbalance ratios that distinguish different patterns in each route are determined. This paper overcomes the limitation of cointegration analysis in testing the relationship of two time-serie variables with structure changes. Practically,this study reveals the evolution of price asymmetry over time in three major routes,and their relationship with trade imbalances.