干散货造船市场与货运市场的动态关系研究

发布时间：2018-03-04 09:18

本文选题：干散货航运市场　切入点：造船市场　出处：《武汉大学》2013年博士论文　论文类型：学位论文

【摘要】：美国次贷危机和欧洲债务危机以来,全球航运业虽然经历了短暂的反弹,但好景不长,随后再次跌入谷底,其中干散货航运业变化尤为明显。目前全行业面临有效需求不足,运力供给过剩,成本压力过大,运价长期低迷的困境。其中运力过剩是目前面临最为突出的问题。本文从干散货造船市场与货运市场之间存在的时间滞后出发,探寻运力过剩背后的经济学动因。在大多数航运业有关的经济学研究中都只是依据有效市场假说,把造船市场当做与其相关的变量进行讨论。本文创新性地从造船业的视角出发,运用时间序列和面板数据分析方法,研究干散货造船市场与货运市场之间的动态关系。为了有效分析干散货造船市场与货运市场之间的动态关系,本文从运费、造船订单、船舶交付之间的相互影响入手进行了一系列研究。首先探讨了运费和造船价格之间的方向因果关系。通过单位根检验、协整检验和脉冲响应分析,研究发现了从运费到造船价格的正向-单向因果关系,从运费到造船价格的滞后时间大约是三到六个月,存在时间滞后说明两个市场的信息流动并不像有效市场假说(EMH)所预期的那样有效。其次,本文研究了干散货造船市场投资活动的决定因素。运用混合面板数据方法研究后证实,货运市场运费对于船舶投资活动具有重要作用,并发现日本、韩国、中国等国家的造船业存在极强的集群效应。最后,本文就船队规模变化对运费波动率的影响展开了论述,先以AR-GARCH模型来测量运费的波动率,接着用GMM法分析了货运市场运费波动率与船队规模之间的关系。研究表明船队规模是运费波动率的关键决定因素,并且以一种非线性的方式对运费波动率产生显著影响。本文的研究结果将有助于船东改进投资决策,并对国家制定相关政策具有一定的参考意义。
[Abstract]:Since the subprime mortgage crisis and the European debt crisis, the global shipping industry has experienced a brief rebound, but then again fall into the bottom, good times don't last long, the bulk shipping industry change is obvious. At present, the industry is facing a shortage of effective demand, excess supply capacity, the cost pressure is too large, long-term downturn. The rate of excess capacity is currently facing the most prominent problem. In this paper between the dry bulk freight market, shipbuilding market and time lag of exploring the motivation behind the economics of excess capacity.
In the study on the economics of most of the shipping industry is based on the efficient market hypothesis, the shipbuilding market as discussed related variables. This paper innovatively starting from the shipbuilding industry perspective, using time series and panel data analysis method, study on the dynamic relationship between the ship dry bulk market and the freight market.
In order to effectively analyze the dynamic relationship between the dry bulk cargo market and shipbuilding market, this article from the shipping, shipbuilding orders, the mutual influence between the delivery of the ship with a series of research. First discusses between shipping and shipbuilding price in the direction of causality. Through unit root test, cointegration test and impulse response analysis, the study found that from the freight forward shipbuilding price one-way causal relationship is about three to six months from the freight ship price lag time, time lag exists that the two market flow of information is not the efficient market hypothesis (EMH) as effective as expected.
Secondly, this paper studies the determinants of dry bulk shipping market investment activities. Using the method of mixed panel data confirmed that the freight freight market plays an important role in ship investment activities, and found that Japan, South Korea, and other countries are Chinese shipbuilding industry cluster effect is extremely strong.
Finally, the fleet size of freight volatility is discussed, using AR-GARCH model to measure the volatility of freight, and then use the GMM method to analyze the relationship between freight freight market volatility and the size of the fleet. The research showed that the fleet size is a key determinant of freight volatility, and in a nonlinear the way of freight volatility have a significant impact.
The results of this study will help the shipowners to improve their investment decisions and have a certain reference for the country to formulate relevant policies.

【学位授予单位】：武汉大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F551;F416.474

【参考文献】