基于改进EMD和BEKK-MVGARCH的干散货FFA市场波动分析

发布时间：2018-01-12 01:20

本文关键词：基于改进EMD和BEKK-MVGARCH的干散货FFA市场波动分析　出处：《大连海事大学》2014年硕士论文　论文类型：学位论文

【摘要】：由于国际航运业是一个变幻莫测的行业,尤其是受社会、经济、政治、自然等众多因素影响的国际干散货航运市场,其波动巨大,瞬息万变的运价给航运经营者带来了巨大的风险,所以产生了很多航运衍生品,有效地帮助了投资者规避了风险。其中最具代表性的衍生品FFA由于其航运和金融的双重属性,其市场价格波动也较大,并且投资者的投资行为对FFA价格的影响也较大,研究FFA价格的内在波动机理意义重大。因此,本文深入研究干散货FFA价格的波动性以及不同FFA市场之间的波动溢出效应,为干散货航运市场经营者与FFA投资者提供理论参考。本文基于计量经济学理论,以干散货市场的FFA价格为研究对象,基于改进的EMD模型将FFA价格原始序列分解后,重构成三部分,分别为高频序列(正常市场价格波动)、低频序列(重大突发事件影响)及长期趋势价格；进而通过BEKK-MVGARCH模型,结合FFA市场特点,分析不同FFA市场的波动溢出效应。本文研究结果表明,Capesize型船FFA价格的高频和低频序列波动幅度较大,受影响较大,长期趋势序列则Panamax型船波动幅度较大；C3航线FFA价格的高频和低频序列波动幅度较大,而C4航线的长期趋势序列受影响程度较大；除了Capesize型船FFA市场对Panamax型船FFA市场波动溢出效应不明显外,这三个FFA市场之间均存在波动溢出效应。通过研究结果可知,改进的EMD方法可以有效揭示干散货市场不同经济含义的时间序列特征,更好的把握不同的FFA市场价格波动特征及原因。
[Abstract]:Because the international shipping industry is an unpredictable industry, especially the international dry bulk shipping market which is influenced by social, economic, political, natural and other factors, its fluctuation is huge. The rapidly changing freight rates bring great risks to shipping operators, so a lot of shipping derivatives are produced. It has effectively helped investors to avoid risk. The most representative derivatives FFA, because of its shipping and financial dual attributes, its market price volatility is also large. And the investor's investment behavior also has a great influence on the FFA price, so it is significant to study the inherent fluctuation mechanism of FFA price. This paper deeply studies the volatility of dry bulk FFA price and the volatility spillover effect between different FFA markets, which provides a theoretical reference for dry bulk shipping market operators and FFA investors. Based on econometrics theory, this paper takes the FFA price of dry bulk market as the research object, decomposes the original sequence of FFA price based on the improved EMD model, and reconstitutes three parts. They are high frequency series (normal market price fluctuation), low frequency series (major sudden event impact) and long term trend price. Then the volatility spillover effects of different FFA markets are analyzed by BEKK-MVGARCH model and FFA market characteristics. The results show that the high frequency and low frequency series of FFA price of Capesize ship fluctuate greatly, and the long term trend series of Panamax ship fluctuate greatly. The high frequency and low frequency series of FFA price of C 3 route fluctuate greatly, while the long term trend sequence of C 4 route is affected greatly. In addition, the volatility spillover effect of Capesize type ship FFA market on Panamax type FFA market is not obvious. Through the research results, the improved EMD method can effectively reveal the time series characteristics of different economic meanings in dry bulk market. Better grasp different FFA market price fluctuation characteristics and reasons.
【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F551

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