基于SVCJ-TVP-VAR模型的国际干散货远期运费市场间跳跃联动研究

The Jump Linkage Between International Dry Bulk Forward Freight Markets Based on SVCJ-TVP-VAR Model

为探究不同远期运费市场之间的风险联动性,文章采用SVCJ-TVP-VAR模型,选取2014—2020年3种船型远期运费(FFA)日度数据,从静态和动态的角度分析国际干散货FFA市场间收益跳跃及波动跳跃的联动关系。研究结果表明:(1)交易活跃的好望角船型FFA市场的跳跃现象最明显,超灵便船型FFA市场跳跃现象最弱;(2)从共跳的角度来看,3个市场整体发生跳跃的情况弱,但两市场之间共跳情况较强,其中好望角船型和巴拿马船型共跳次数最多;(3)远期运费市场两两之间存在时变且复杂的双向联动关系,且这种联动效应在短期最强,长期最弱;(4)无论是收益跳跃和还是波动跳跃,3种市场对跳跃信息均具有不同的反应程度。好望角船型FFA市场对跳跃信息的反应程度最剧烈,且其他市场对好望角船型市场的跳跃信息的响应程度最高;(5)在造成市场整体低迷的极端事件发生时,FFA市场往往表现出正向的跳跃联动效应,这对市场监管者和参与者提供了参考意义。

In order to explore the risk linkage between different forward freight markets,this paper used the SVCJ-TVP-VAR model,selected the forward freight agreement(FFA)daily data of three ship types from 2014 to 2020,and analyzed the dynamic relationship between return jump and volatility jump in the international dry bulk FFA market from the static and dynamic perspectives.The results showed that:(1)The jumping phenomenon in the Capesize′s FFA market with active trading was the most obvious,and the jumping phenomenon in the Handymax′s FFA market was the weakest;(2)The phenomenon of three markets jumping at the same time was weak,and the number of times of two markets jumping at the same time was strong,among which the Capesize and Panamax had the most jumps;(3)There was a time-varying and complex two-way linkage between the forward freight market,and this linkage effect was the strongest in the short term and the weakest in the long term;(4)Whether it was return jump or volatility jump,the three markets had different reaction degrees to jump information.The response of the Cape ship type FFA market to the jump information was the most intense,and the response of other markets to the jump information of the Capesize was the highest;(5)When the extreme events that cause the overall market downturn occured,FFA market often showed a positive jump linkage effect,which had provided a reference for market regulators and participants.