油船期租价格与BDTI相关性研究

发布时间：2018-04-22 02:01

本文选题：VAR模型 + VEC模型　；参考：《大连海事大学》2014年硕士论文

【摘要】：原油运输行业是一个价格风险极高的行业,瞬息万变的运价给航运市场参与者带来了巨大的经营风险。对于航运企业来说,减少经营风险的最好途径就是最大程度的稳定运营成本。因此,如何将油船期租费用锁定在一定范围内,或者说预测油船期租价格的波动对航运企业来说有重要意义。本文研究的主要问题就是不同期限结构的运费价格与BDTI之间的相互作用关系。具体的研究对象是三类不同载重吨以及分别对应的三种不同期限结构的油船运费价格。研究方法采用定量与定性相结合的方式,在定量研究中,针对向量自回归VAR模型进行脉冲响应分析与方差分解分析；针对VEC模型探索变量间是否具有长期协整关系以及短期影响程度如何。采用这样关于时间序列研究的计量经济学模型是一种纵向的分析,不同载重吨的油船数据之间的对比,是一种横向分析。研究结果表明,第一,各船型不同期限结构的运费以及BDTI均为非正太分布,即各船型不同期限结构的运费以及BDTI的波动性较强,规律性不明显。但是,油船运费价格走势与BDTI走势基本相同。第二,就受到冲击后的反应来看,BDTI更为强烈,运费价格的响应水平不及BDTI。第三,就不同期限结构的运费价格和BDTI之间的相互影响来看,不同期限结构的运费价格主要是受自身的影响,其次是受BDTI的影响。第四,一年期、三年期、五年期运费价格与BDTI之间存在长期的均衡关系,短期也存在相互影响,但是,比较而言,长期影响明显强于短期影响。综合上述研究结论,油船经营者或其他利益相关者可以从整体上把握油船运输市场期租价格的动向,适当规避风险。但是,本文的研究也存在一定的局限性,因为实际的油船运输市场中必然存在许多可分散风险和不可分散风险,这些是本文采用的模型所无法控制的变量。
[Abstract]:Crude oil transportation industry is an industry with high price risk. The rapidly changing freight rate brings huge operating risk to the participants of shipping market. For shipping enterprises, the best way to reduce operating risks is to stabilize operating costs to the greatest extent. Therefore, it is of great significance for shipping enterprises to lock the oil charter fee within a certain range, or to predict the fluctuation of oil vessel charter price. The main problem studied in this paper is the interaction between freight price and BDTI with different term structure. The specific object of study is three types of different deadweight tons and corresponding three different term structure of tanker freight price. In the quantitative study, pulse response analysis and variance decomposition analysis were carried out for the vector autoregressive VAR model. This paper explores whether there is a long-term cointegration relationship between variables in VEC model and the degree of short-term influence. Using this econometric model for time series research is a longitudinal analysis, and the comparison between tanker data of different load tons is a horizontal analysis. The results show that, first, the freight rates and BDTI of different term structures of different ship types are non-orthodox, that is, the freight rates of different term structures of each ship type and the volatility of BDTI are strong, but the regularity is not obvious. However, oil tanker freight price trend and BDTI trend is basically the same. Second, as far as the response after shock is concerned, BDTI is stronger, and the response level of freight price is not as good as that of BDTI. Thirdly, from the point of view of the interaction between the freight price of different term structure and BDTI, the freight price of different term structure is mainly influenced by itself, followed by the influence of BDTI. Fourth, there is a long-term equilibrium relationship between freight price and BDTI for one year, three years and five years, and there is also a mutual influence in the short term. However, the long-term effect is obviously stronger than the short-term impact. Synthesizing the above research conclusion, the tanker operator or other stakeholders can grasp the trend of the oil tanker transportation market term rental price and avoid the risk appropriately. However, the study of this paper also has some limitations, because there must be a lot of dispersed and non-dispersible risks in the actual tanker transportation market, which are the variables beyond the control of the model adopted in this paper.
【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】：F551;F416.22

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