基于SVAR模型的干散货运价和燃油价格的相关性分析

Correlation analysis of dry bulk freight and bunker oil price based on SVAR model

为探求干散货运价和燃油价格的动态相关性,选取2000年1月至2015年12月波罗的海运价指数(BDI)和船舶燃油价格的月均值为样本数据,建立结构向量自回归(SVAR)模型,采用Granger因果关系检验、脉冲响应、方差分解研究两者之间的关系.实证分析结果表明,干散货运价和燃油价格的短期波动具有双向因果关系,但两者交互影响的显著性有所区别,燃油价格的上涨对波罗的海干散货运价指数的增长存在显著影响.

To seek the dynamic correlation between dry bulk freight and bunker oil price,the the monthly data of Baltic Dry Index（ BDI） and oil price from January 2000 to December 2015 were chosen as samples to sets up the structural vector auto regression（ SVAR） model,and the relationship between them was analyzed by using Granger causality test model,the impulse response and variance decomposition. Empirical results show that the short-run volatility between the two markets has bidirectional causality links,but the interaction degree of them is different,the volatility of oil price affects dry bulk freight more significantly.