基于EMD的中国出口集装箱运价指数波动特性
发布时间：2018-07-13 21:53
【摘要】：中国出口集装箱运价指数(CCFI)能有效反映集装箱海运市场变化,是航运企业经营决策、政府部门航运产业政策制定的重要参考。本文基于经验模态分解(EMD)方法数据驱动的特征及处理非线性、非平稳、多尺度数据序列的优势,将CCFI有效分解为若干本征模态(IMFs);然后提出综合考虑各IMFs的T检验P值和波动频率对IMFs进行重构,并基于希尔伯特变换和统计分析探讨了各重构项经济内涵;最后从内在影响因素角度探讨了CCFI长期发展趋势、重大事件影响、季节波动、短期市场不均衡的波动特性。研究表明:CCFI长期呈缓慢下降趋势,由市场船舶运力供给大于货运需求决定;CCFI的暴涨暴跌由金融危机等重大事件引起,影响程度大,持续时间长;CCFI的季节波动受季节性生产等因素影响,呈较规则正弦波动,高峰在9、10月份前后,低谷在3、4月份左右;CCFI短期市场不均衡波动受油价、汇率等因素影响,影响程度小,持续时间短;CCFI波动存在约4年的大周期、1年的小周期。
[Abstract]:China's export container price index (CCFI) can effectively reflect the changes of container shipping market and is an important reference for shipping enterprises to make business decisions and government departments to formulate shipping industry policies. Based on the data-driven characteristics of empirical mode decomposition (EMD) method and the advantages of dealing with nonlinear, non-stationary and multi-scale data sequences, The CCFI is decomposed into several intrinsic modes (IMFs), and then it is proposed to reconstruct the IMFs by considering the T test P value and fluctuation frequency of each IMFs, and the economic connotations of the reconstructed terms are discussed based on Hilbert transform and statistical analysis. Finally, the characteristics of CCFI long-term development trend, major event influence, seasonal fluctuation and short-term market unbalance are discussed from the perspective of internal influencing factors. The study shows that the trend of the slow decline of the CCFI has been slow for a long time. The increase and fall of CCFI is determined by the fact that the supply of shipping capacity in the market is greater than the demand for freight transport. The seasonal fluctuation of CCFI is affected by seasonal production and other factors, which is more regular sine wave. The peak is around September and October, and the low point is about March / April. The short-term market unbalance fluctuation of CCFI is influenced by oil price, exchange rate and other factors. The duration of CCFI fluctuation is about 4 years large period and 1 year small period.
【作者单位】： 珠海城市职业技术学院经济管理学院;大连海事大学综合交通运输协同创新中心;
【基金】：国家自然科学基金项目:自贸区港口生态圈演化、平衡及评价机制研究(71672016,2016-2020) 长江学者和创新团队发展计划:港口协同发展与绿色增长(IRT13048,2013-2017) 河北省交通运输厅重点项目:河北港群绿色增长发展模式研究(ZJT2015037,2015-2017) 中国物流学会课题:广东自贸区对珠海港的影响与对策研究(2016CSLKT3-154,2016-2017) 广东省高职交通运输教指委课题:协同创新理念下高职港口与航运管理专业课程体系构建研究——基于工作过程系统化方法(jtysglzw201502,2015-2018)
【分类号】：F552;F752.62
本文编号：2120854
[Abstract]:China's export container price index (CCFI) can effectively reflect the changes of container shipping market and is an important reference for shipping enterprises to make business decisions and government departments to formulate shipping industry policies. Based on the data-driven characteristics of empirical mode decomposition (EMD) method and the advantages of dealing with nonlinear, non-stationary and multi-scale data sequences, The CCFI is decomposed into several intrinsic modes (IMFs), and then it is proposed to reconstruct the IMFs by considering the T test P value and fluctuation frequency of each IMFs, and the economic connotations of the reconstructed terms are discussed based on Hilbert transform and statistical analysis. Finally, the characteristics of CCFI long-term development trend, major event influence, seasonal fluctuation and short-term market unbalance are discussed from the perspective of internal influencing factors. The study shows that the trend of the slow decline of the CCFI has been slow for a long time. The increase and fall of CCFI is determined by the fact that the supply of shipping capacity in the market is greater than the demand for freight transport. The seasonal fluctuation of CCFI is affected by seasonal production and other factors, which is more regular sine wave. The peak is around September and October, and the low point is about March / April. The short-term market unbalance fluctuation of CCFI is influenced by oil price, exchange rate and other factors. The duration of CCFI fluctuation is about 4 years large period and 1 year small period.
【作者单位】： 珠海城市职业技术学院经济管理学院;大连海事大学综合交通运输协同创新中心;
【基金】：国家自然科学基金项目:自贸区港口生态圈演化、平衡及评价机制研究(71672016,2016-2020) 长江学者和创新团队发展计划:港口协同发展与绿色增长(IRT13048,2013-2017) 河北省交通运输厅重点项目:河北港群绿色增长发展模式研究(ZJT2015037,2015-2017) 中国物流学会课题:广东自贸区对珠海港的影响与对策研究(2016CSLKT3-154,2016-2017) 广东省高职交通运输教指委课题:协同创新理念下高职港口与航运管理专业课程体系构建研究——基于工作过程系统化方法(jtysglzw201502,2015-2018)
【分类号】：F552;F752.62
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