干散货航运市场间运价指数波动溢出效应研究

发布时间：2018-03-25 09:06

本文选题：干散货航运市场　切入点：运价指数　出处：《大连海事大学》2012年硕士论文

【摘要】：干散货航运市场是国际航运市场的重要组成部门,其运输的铁矿石、煤炭、粮谷等是人民生产、生活的必需品。近年来,随着国际经济的复杂化,干散货运价指数波动较大,在短短一年时间内创造了历史最高值与最低值,其“过山车”式的波动使干散货航运市场的参与者蒙受了较大的损失。目前,国内外学者对干散货运价指数的波动性进行了大量的研究,取得了一定的研究成果。本文将整个干散货航运市场按照船型的不同进行细分,使用金融研究中广泛使用的多变量GARCH-BEKK模型应用于不同船型的干散货航运市场之间的波动性研究中,除考虑不同市场的波动敏感性和持续性外,还对不同船型的干散货航运市场之间的波动溢出效应进行了分析,并对波动溢出效应的原因进行了分析。本文的主要工作包括：首先,从干散货航运市场的需求、运力供给、市场特征、运价指数等方面定性地分析了干散货航运市场。从全球的角度出发,宏观地分析了干散货运价指数波动的影响因素。其次,在界定波动溢出效应概念的基础上,介绍了常用研究不同市场间波动溢出效应的单变量GARCH类模型、多变量GARCH模型类和SV模型。通过分析三类模型的优缺点,选出了适用于干散货航运市场间波动溢出效应研究的多变量GARCH-BEKK模型。第三,收集波罗的海国际干散货运价指数数据,构建三种船型的干散货运价指数收益率序列,描绘序列的走势和基本统计特征,从总体上把握收益率的基本特点。在平稳性、自相关性和ARCH效应检验的基础上,运用适用于干散货航运市场波动溢出效应研究的GARCH-BEKK模型分析了三种船型干散货航运市场波动的敏感性、持续性以及三个市场之间的波动溢出效应。对于三个干散货航运市场出现波动溢出效应的原因进行了分析。第四,针对如何规避干散货航运市场的波动给参与者带来的风险,本文从政府应该如何加强对干散货航运企业的扶持以及航运企业如何加强抵御风险的能力两个方面给出了建议和对策。最后,总结了本文研究的主要内容,并指明了本文研究的不足之处和未来发展的方向。
[Abstract]:The dry bulk shipping market is an important component of the international shipping market. The iron ore, coal, grain and other commodities transported by the dry bulk shipping market are necessities for people to produce and live. In recent years, with the complication of the international economy, the price index of dry bulk freight has fluctuated greatly. In a short period of one year, it has created the highest and lowest value in history, and its "roller coaster" fluctuation has caused a great loss to the participants in the dry bulk shipping market. Scholars at home and abroad have done a lot of research on the volatility of dry bulk freight rate index, and obtained certain research results. This paper subdivides the whole dry bulk shipping market according to different ship types. The multivariable GARCH-BEKK model, which is widely used in financial research, is used to study the volatility of dry bulk shipping markets with different types of ships, except for the volatility sensitivity and persistence of different markets. This paper also analyzes the volatility spillover effects among dry bulk shipping markets of different types of ships, and analyzes the causes of volatility spillover effects. The main work of this paper is as follows:. Firstly, this paper analyzes the dry bulk shipping market qualitatively from the aspects of demand, capacity supply, market characteristics and freight rate index of dry bulk shipping market, and from the global point of view, analyzes the influencing factors of the fluctuation of dry bulk freight price index macroscopically. Secondly, on the basis of defining the concept of volatility spillover effect, the univariate GARCH model, multivariate GARCH model and SV model are introduced. A multivariable GARCH-BEKK model is selected for the study of volatility spillover effect in dry bulk shipping market. Third, collect the Baltic international dry bulk freight index data, construct three kinds of dry bulk freight price index return rate series, describe the trend and basic statistical characteristics of the sequence, and grasp the basic characteristics of the rate of return on the whole. Based on the test of autocorrelation and ARCH effect, the sensitivity of volatility in three types of dry bulk shipping market is analyzed by using the GARCH-BEKK model, which is suitable for the research of volatility spillover effect in dry bulk shipping market. The causes of volatility spillover effects in the three dry bulk shipping markets are analyzed. Fourth, aiming at how to avoid the risks to participants caused by the fluctuation of dry bulk shipping market, This paper puts forward some suggestions and countermeasures from two aspects: how the government should strengthen the support to dry bulk shipping enterprises and how to strengthen the ability of shipping enterprises to resist risks. Finally, this paper summarizes the main contents of this study, and points out the shortcomings of this study and the future development direction.
【学位授予单位】：大连海事大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F551;F224

【引证文献】