基于ANCOVA模型的中国沿海化学品船期租水平运价指数及波动研究

Chinese Coastal Chemical Tankers Forward Time Charter Freight Index and the Volatility Study Based on ANCOVA-Model

通过对中国沿海化学品航运市场三种主要船型船舶运价走势作跟踪分析,建立化学品船航运市场动态预测模型.运用市场变化规律,利用计量经济学就市场各载重吨船型期租水平曲线进行分析以描述市场,并利用变量相关航运市场景气程度的相关关系,应用变量间多元回归模型对实际船舶运营期租水平进行解释,以及回归方程进行敏感性分析,进而优化模型,得到市场化学品船期租水平与各市场变量的系数关系及中国沿海化学品船航运市场的系统性趋势,提出中国沿海化学品船期租水平运价指数概念,为主流船型化学品船远期期租水平指数的远期交易、套期保值等操作做初步研究.

By the tracking and analysis of main size chemical tankers in shipping market,the dynamic marketing forecasting model was established.Based on the marketing performance circles and econometrics the time series of per metric ton time charter equivalent of sample chemical tankers was made smooth by moving average,and correlation between variables were introduced into the regression model for the establishment of the forecasting model,then the sensitivity analysis and model optimization were conducted for the accuracy coefficient between market time charter freight level and relevant marketing factors.By introducing correction factor into the regression results the systematic risks arising from marketing declining was removed.The forward time charter freight index was put forward,and the basic study of relevant trading and hedging operations was conducted.