摘要
国际干散货运输市场源于国际贸易的衍生需求,受世界经济的影响,是一个典型的周期性市场。选取1999年11月~2021年12月的波罗的海干散货运价指数(I_(BD))月度数据,在检验序列平稳性的基础上,确定最优滞后长度,构建两区制的时变转换概率马尔科夫转换自回归模型,分析I_(BD)波动周期的持续时间、转换拐点和非对称性等主要特征。研究结果表明:模型能有效拟合I_(BD)波动周期的主要特征,周期平均持续时间为33.7个月,自2008年9月之后呈缩短态势,上升期和下降期交互更频繁;I_(BD)波动周期具有非对称性,周期内上升期持续时间比下降期长,I_(BD)维持上升期更具有稳定性。周期性特征结果可为干散货航运业造船投资和市场经营提供决策依据。
International dry bulk shipping market is a derived demand of the international trade,it's a typical cyclical market affected by the world economy.Based on the monthly data of I_(BD)(Baltic Dry Index)from November 1999 to December 2021,the model of Markov Switching Auto-Regression Time-Varying Transition Probabilities of two regimes is built to analyze the duration,transition point of inflection and asymmetry of I_(BD)fluctuation periods.The results show that the MS(2)-AR-TVTP model can fit the main characters of I_(BD)fluctuation periods effectively.The average duration of period is 33.7 months.The length of the period presents a tendency to shorten from September 2008.The conversion between high-tide and low-tide period becomes more frequent.The dfferent stages in the period have asymmetry of distribution.The duration of high-tide period is longer than low-tide period and has a more reliable performance.The cyclical characterization results can provide a basis for decision-making in the dry bulk shipping industry,shipbuilding investment and market operations.
作者
陈丽芬
谢新连
林嘉俊
CHEN Lifen;XIE Xinlian;LIN Jiajun(Navigation College,Jimei University,Xiamen 361021,China;College of Transportation Engineering,Dalian Maritime University,Dalian 116026,China)
出处
《中国航海》
CSCD
北大核心
2024年第2期65-71,共7页
Navigation of China
基金
福建省教育厅中青年教师教育科研项目(JAT220170)。
