探索Capesize货运合约中的波动性传播:从能源和商品市场的洞察力
Jackson Jinhong Mi1, Shek Ahmed1,2, Yanhui Chen1
1School of Economics & Management, Shanghai Maritime University, Shanghai, China.
PloS one
|January 24, 2025
概括
这项研究揭示了Capesize货运动态如何影响干散货市场,这些市场是由能源和大宗商品价格驱动的. 短期溢出影响占主导地位,原油和中国-巴西等特定航线是关键的冲击传递器.
科学领域:
- 海洋经济学 海洋经济学
- 金融市场分析 金融市场分析
- 商品交易是指商品的交易.
背景情况:
- 现有的研究重点是平均货物指数和溢出效应.
- 在了解区域间航线和包机合同方面存在差距.
- 大型货物运输的动态在区域干散货市场中至关重要,但尚未得到充分研究.
研究的目的:
- 调查区域干散货市场中的Capesize货运动态.
- 分析能源和商品价格波动的影响.
- 检查区域间航线互动和包机合同.
主要方法:
- 时间变化参数向量自回归 (TVP-VAR) 模型.
- 跨越不同投资时间的分析.
- 确定冲击传递机制.
主要成果:
- 短期溢出影响在整个系统中占主导地位.
- 原油价格在时间租网络中充当了持续的冲击传递器.
- 中国-巴西航线引发溢出影响;澳大利亚-中国航线从吸收转变为传递冲击.
- 图巴罗 - 罗德曼和玻利瓦尔 - 罗德曼路线显示了类似的短期传播和长期吸收模式.
结论:
- 调查结果为海事利益相关者提供了关于风险管理的见解.
- 在经济和地缘政治不确定性中,了解特定路线的动态是关键.
- 大型货物运输的动态在很大程度上塑造了区域干散货市场.
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