世界干散货船订单量、波罗的海干散货运价指数和二手船交易量之间的协整检验与因果分析

Cointegration Test and Causality Analysis on World Dry Bulk Carrier Orders,BDI and Second-Hand Ship Trading Volume

干散货船新船订单量的预测对船舶产业的战略规划至关重要。采用自回归分布滞后模型的边限协整检验和格兰杰因果检验理论对干散货船订单量与波罗的海干散货运价(BDI)指数和二手船交易量进行了因果关系研究,在此基础上建立了误差修正模型对订单量进行预测。发现干散货船新船订单量与BDI和二手船交易量之间存在长期均衡关系。BDI指数与干散货船订单量存在单向的格兰杰因果关系,即BDI指数是新船订单量的格兰杰原因。在此基础上建立的误差修正模型可以解释时间序列的短期波动,能够反映干散货船订单量如何偏离与BDI指数和二手船交易量的长期均衡关系,可以对新船订单进行更为精确的预测。

Forecasting demand for new dry bulk carriers is critical to the strategic plan in the shipbuilding industry. Causal relationship between dry bulk carrier orders, Baltic dry bulk freight index （BDI） and second-hand ship trading volume is studied using marginal cointegration test based on the hysteresis model of autoregressive distribution, and then tested with the Granger causality theory. We then build a model of error correction to predict the amount of new carrier orders. We find that there is a long-term equilibrium relationship between the new bulk cargo ships, the BDI and the second-hand ship trading volume. There is a one-way Granger causality between the new carrier orders and the BDI index, and the BDI index is the Granger cause of the new carrier order. With the help of the model of error correction, the short-term fluctuations in the time series of carrier orders can be explained, also deviation of the new dry bulk carrier orders from the long-term equilibrium relationship can be captured, and therefore more accurate forecasts can be provided.