国际干散货运输航线间即期与远期市场的关联机制研究
发布时间：2018-11-13 14:56
【摘要】：以C3、C5航线FFA交易即期和远期的日数据为研究对象,以向量自回归模型为基础,利用脉冲响应分析和方差分解分析方法,对C3、C5航线的即期与远期市场及其航线间的相关关系进行了实证分析。脉冲响应结果显示,同一航线即期市场的波动会引起远期市场的波动,反之则影响较小;C5航线的波动能迅速传给C3航线,反之则较弱。通过方差分解分析可以发现,即期市场的预测波动大约有50%来源于对应的远期市场但远期市场的预测波动主要取决于远期市场本身;C3航线的预测波动主要取决于本航线,而C5航线的预测波动则有一半来源于C3航线。
[Abstract]:On the basis of vector autoregressive model and impulse response analysis and variance decomposition analysis, this paper takes the spot and forward daily data of FFA transaction on C3C5 route as the research object, and makes use of the methods of impulse response analysis and variance decomposition analysis. The correlation between spot and forward market and routes of C _ 5 is analyzed empirically. The results of pulse response show that the fluctuation of spot market on the same route will cause the fluctuation of forward market, and the fluctuation of C5 route can be transmitted to C3 route quickly, but the contrary will be weaker. Through variance decomposition analysis, it can be found that about 50% of the forecast volatility of spot market comes from the corresponding forward market, but the forecast volatility of forward market mainly depends on the forward market itself. The forecast fluctuation of C _ 3 route mainly depends on this route, while that of C _ 5 route is half from C _ 3 route.
【作者单位】： 中国海洋大学经济学院;
【基金】：国家自然科学基金面上项目“向量分位数协整及其在组合投资决策中应用研究”(71071087);国家自然科学基金青年项目“Copula分位数协整理论及其在FFA市场的应用研究”(71101134)
【分类号】：F551
[Abstract]:On the basis of vector autoregressive model and impulse response analysis and variance decomposition analysis, this paper takes the spot and forward daily data of FFA transaction on C3C5 route as the research object, and makes use of the methods of impulse response analysis and variance decomposition analysis. The correlation between spot and forward market and routes of C _ 5 is analyzed empirically. The results of pulse response show that the fluctuation of spot market on the same route will cause the fluctuation of forward market, and the fluctuation of C5 route can be transmitted to C3 route quickly, but the contrary will be weaker. Through variance decomposition analysis, it can be found that about 50% of the forecast volatility of spot market comes from the corresponding forward market, but the forecast volatility of forward market mainly depends on the forward market itself. The forecast fluctuation of C _ 3 route mainly depends on this route, while that of C _ 5 route is half from C _ 3 route.
【作者单位】： 中国海洋大学经济学院;
【基金】：国家自然科学基金面上项目“向量分位数协整及其在组合投资决策中应用研究”(71071087);国家自然科学基金青年项目“Copula分位数协整理论及其在FFA市场的应用研究”(71101134)
【分类号】：F551
【参考文献】
相关期刊论文 前5条
1 宫晓Z^;吕靖;王尧;;远期运费市场与即期运费市场的关系研究[J];大连海事大学学报;2010年01期
2 朱意秋;郑文t，
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