国际油轮运输市场的周期波动及预测

发布时间：2018-07-06 11:40

本文选题：波罗的海原油运价指数 + 相关性　；参考：《大连海事大学》2013年硕士论文

【摘要】：当今世界,伴随贸易全球化的不断推进,航运市场在国际贸易中扮演了越来越重要的角色,国际航运市场内的竞争也越来越激烈。目前航运界对运价周期性及波动性的研究大多是针对干散货市场和集装箱市场,油轮运输市场较少；而且,自2008年金融危机造成航运市场的大萧条后,油轮运输市场一直处于低位徘徊的阶段,油轮运价指数周期波动性越来越受到航运经营者的广泛关注,因此研究国际油轮运输市场运价指数的周期划分及其波动性,预测油轮运输市场的未来变化趋势,从而结合运价指数的各个影响因素及波动规律,给油轮运输企业提供科学的理论依据和经营决策就显得极为必要。本文主要由以下几个部分构成：首先,从国际油轮运输市场入手,先对油轮市场的市场要素进行了简要的分析,然后分析了国际油轮运输市场供给和需求进行了分析。并对波罗的海油轮运价指数的产生、发展、航线构成和运价指数的波动原因进行了简要的阐述。其次,选取了国际原油价格(COP)、SP500股票指数(SP)、油轮船队规模(FT)、二手船价格(TSP)作为相关指数,研究了与波罗的海原油运价指数(BDTI)的相互影响关系。发现原油价格、SP500股票指数、油轮船队规模都是原油运价指数的Granger原因。建立了VAR模型,预测结果表明近期原油运价指数将有略微上涨的趋势,市场处于恢复阶段。接着,采用HP滤波方法分离了取对数之后的原油运价指数、国际原油价格、SP500股票指数、油轮船队规模的长期趋势和循环成分,发现原油运价指数、国际原油价格、SP500股票指数的波动情况十分相似,原油价格和世界经济状况可以作为原油运价指数的先行指数。之后运用谱分析法对三个时间序列进行周期测度的定量计算,发现原油运价指数存在一年半左右的周期成分和两年半左右的周期成分,国际原油价格和SP500股票指数都是存在一年半左右的周期成分和三年左右的周期成分。然后介绍了周期划分的方法,并对原油运价指数的周期进行了划分。最后,在上述研究的基础上总结波罗的海原油运价指数的周期波动特性,对油轮运营公司的经营策略提出建议,并指出文章进一步的研究方向。
[Abstract]:In today's world, with the development of trade globalization, shipping market plays a more and more important role in international trade, and the competition in international shipping market is becoming more and more fierce. At present, most of the researches on the periodicity and volatility of freight rates in the shipping industry are focused on the dry bulk cargo market and the container market, and the tanker transportation market is relatively few. Moreover, since the Great Depression of the shipping market caused by the financial crisis in 2008, The oil tanker transportation market has been in the low and hovering stage, and the fluctuation of the oil tanker price index has been paid more and more attention by the shipping operators. Therefore, the research on the cycle division and the volatility of the international tanker transportation market price index is carried out. It is very necessary to forecast the future change trend of tanker transportation market and to provide scientific theoretical basis and management decision for tanker transportation enterprises in combination with various influencing factors and fluctuating rules of freight rate index. This paper mainly consists of the following parts: first, starting from the international tanker transportation market, the market elements of the oil tanker market are analyzed briefly. Then it analyzes the supply and demand of international tanker transportation market. The origin, development, route composition and fluctuation reasons of the Baltic oil tanker price index are briefly described. Secondly, international crude oil price (cop) SP500 stock index (SP), tanker fleet size (FT) and second-hand ship price (tsp) are selected as correlation indices to study the interrelation between BDTI and international crude oil price index (BDTI). It is found that the price of crude oil, SP500 stock index and tanker fleet size are all the Granger reasons of crude oil price index. The VAR model is established and the forecast results show that the crude oil price index will rise slightly in the near future and the market is in the recovery stage. Then, using HP filter method to separate the logarithmic crude oil price index, the international crude oil price SP500 stock index, the long-term trend and circulation composition of tanker fleet size, and find the crude oil transport price index. The fluctuation of international crude oil price SP500 stock index is very similar. Crude oil price and world economic situation can be used as the leading index of crude oil price index. Then, the quantitative calculation of the three time series is carried out by using the spectral analysis method. It is found that the crude oil transport price index has a periodic component of about one and a half years and a period of about two and a half years. Both the international crude oil price and the SP500 stock index are periodic components of about one and a half years and three years. Then the method of cycle division is introduced, and the period of crude oil price index is divided. Finally, on the basis of the above research, this paper summarizes the periodic fluctuation characteristics of the Baltic crude oil price index, puts forward some suggestions for the operation strategy of the oil tanker operation company, and points out the further research direction of the 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】：2013
【分类号】：F551;F416.22;F224

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