我国沿海与国际干散货运价联动

Time-Varying Correlation and Dynamic Volatility Between China Coastal and International Dry Bulk Shipping Markets

为研究国内外干散货运输市场的联动性和风险传递效应,建立一般化的DCC-MSV模型来分析两者的动态关系和波动溢出效应。实证分析发现:国内外干散货运价的总体相关性不高,因船型的不同而各异且随着运价涨跌剧烈变化;只有灵便型船和超灵便型船存在国际运价单向引导我国沿海干散货运价,反向和其他船型则不存在引导关系;国内外干散货市场存在微弱的双向风险溢出效应,国际对国内的溢出效应较强。

A DCC-MSV model is adopted to detect the time-varying correlation and dynamic volatility between China coastal and international dry bulk shipping markets. The empirical study suggests that the weak positive unidirectional lead-lag relationship exists only from BHI and BSI to CBCFI and varies sharply along with freight rate. There is weak bidirectional volatility spillover among BHI,BSI,BPI,BCI and CBCFI,of which the forward transmission is more observable. Thus the freight rate of China coast bulk shipping is relatively independent of global market.