航运系统运价波动的周期性与平稳性研究

Study on Cyclicity and Stability of Transport Price Fluctuation in Shipping System

针对传统航运运价理论与实证分析结果的矛盾,对国际海运市场运价的周期性和平稳性进行了研究。首先利用传统ADF检验方法,发现海运运价整体样本(1976-2015)为平稳过程,而部分样本(1976-2002)为非平稳过程。其次,应用滚动平稳检验,发现运价的平稳性较为不稳定,并对样本起止时间点的变动较为敏感;将Zivot和Andrews模型改进后对航运周期内的运价进行平稳性检验,发现不同周期的运价平稳性差异较大,尤其2008年金融危机后,运价发生结构性改变并呈现较为稳定的平稳性运动。

In this paper, in view of the contradiction between the transport price theory and the findings from empirical industrial studies, we studied the cyclicity and stability of the transport price in the international shipping market. First, using the traditional ADF process, we found the overall sample for the period between the year 1976 and 2015 exhibited stability while the partial sample for the period between 1976 and 2002 showed instability. Then, through roiling stability test, we found the transport price was unstable and rather sensitive toward the change in the starting and ending year of the sample. Further, after improving the Zivot and Andrews model, we had a stability check of the transport price within the shipping cycle which revealed great difference between the price stability in different cycles, particularly after the 2008 financial crisis when the transport price underwent structural change and took on a more stable trend.