Journal of Korea Port Economic Association (한국항만경제학회지)

The Korea Port Economic Association (한국항만경제학회)
권호 표지
DOI QR코드

DOI QR Code

The Causal Relationship Test between Marine Business Cycle and Shipping Market Using Heterogeneous Mixed Panel Framework

해운경기변동과 선박시장에 대한 다차원 혼합 패널 인과성 분석

  • Received : 2020.05.26
  • Accepted : 2020.06.29
  • Published : 2020.06.30
Download PDF
⟨ Previous Next ⟩

Abstract

Using panel data on freight rates and ship prices in the dry freighter market from January 2015 to December 2019, this study investigates the characteristics of shipping industry fluctuations. The analysis aims at two aspects of academic contribution. First, this study analyzes the relationship between shipping indicators and ship price based on separate dry-bulk ships, while the previous research considered the overall shipping index and weighted average ship prices. Second, the VAR model for the causality test is extended to a heterogeneous mixed panel model capable of limiting coefficients. There is a peak estimated by removing the cross-correlation problem, which is mainly raised in panel data analysis, using bootstrap estimation and solving the problem of information loss due to differences in non-stationary data. An empirical investigation of the causal relationship between economic fluctuations and ship price shows that the effect on the ship price from the freight is significant at the 1% level. This implies that there is a one-way relationship with demand in the shipping industry rather than a bilateral relationship.

본 연구는 2015년 1월부터 2019년 12월까지의 건화물선 시장의 운임과 선가에 대한 패널 자료로부터 해운경기변동 특성을 분석한다. 분석은 두 가지 측면의 학술적 기여를 목표로 한다. 첫째, 기존연구가 전반적인 해운경기지표와 선박가격 지표를 대상으로 하는 반면 본 연구는 선종별로 세분화한 자료를 대상으로 해운경기지표와 선박 수급에 의한 가격변화의 관계를 분석한다. 둘째, 인과성 검정을 위한 VAR 모형을 계수에 대한 제약이 가능한 다차원 혼합 패널(heterogeneous mixed panel)모형으로 확장한다. 무엇보다도 패널 데이터 분석에서 주로 제기되는 계열상관 문제를 붓스트랩(bootstrap) 추정으로 제거하고 불안정한 자료에 대한 차분에 의한 정보손실 문제를 해결하여 추정한 정점이 존재한다. 해운시장에서 경기변동 요인과 선가 간의 인과관계에 대한 추정결과는 운임의 선가에 대한 영향이 1% 수준에서 통계적으로 유의한 것으로 나타났으나, 선박의 수급변화로 발생하는 선가의 변화가 해운경기에 미치는 영향은 존재하지 않는 것으로 드러났다. 이는 선박수급변화(선가변화)와 해운경기변화(운임변화) 간의 양방향(bilateral)의 인과관계보다는 해운경기변화(운임변화)의 선박수급변화(선가변화)에 대한 일방향(unilateral)의 인관관계가 존재함을 나타내는 실증분석 결과다.

Keywords

References

  1. 김창범(2011), 국제금융시장의 충격과 중국의 수입변동성이 건화물 해운시장에 미치는 영향, 한국항만경제학회지, 제27집 제1호, 263- 280.
  2. 김현석.장명희(2013), 벙커가격과 건화물선 지수(Baltic Dry-bulk Index) 간의 비대칭 장기균형 분석, 한국항만경제학회지, 제29권 제2호, 63-79.
  3. 김현석.장명희(2013), 물동량과 산업생산지수 간의 비선형 공적분 검정, 해운물류연구, 제29권 제4호, 1079-1093. https://doi.org/10.37059/TJOSAL.2013.29.4.1079
  4. 김현석.장명희(2014), 해운경기변동과 선박수요.공급 간의 비선형 장기균형관계 분석, 해운물류연구, 제30권 제2호, 381-399.
  5. 김현석.장명희(2014), Bayesian VAR를 이용한 해운경기, 환율 그리고 산업생산 간의 동태적 상관분석, 한국항만경제학회지, 제30권 제2호, 77-92.
  6. 김현석.장명희(2014), 운임수익과 선박가격 변동이 선박투자 결정에 미치는 영향 -비선형 장기균형관계, 해운물류연구, 제30권 제4호, 859-877.
  7. 모수원(2007), 발틱운임의 불편성과 인과성, 해운물류연구, 제54호, 215-226.
  8. 심재희.모수원(2008), 계량기법을 이용한 발틱건화물선운임의 예측 - 단변량모형, 다변량모형, HP필터링 기법, 해운물류연구, 58호, 1-18. https://doi.org/10.37059/TJOSAL.2008..58.1
  9. 임종관.김우호.고병욱(2010), 벡터자기회귀모형을 이용한 건화물선 시장 분석, 해운물류연구, 64호, 17-35.
  10. 정상국.김성기(2011), 국제유가의 변화가 건화물선 운임에 미치는 영향과 건화물선 운임간의 상관관계에 관한 연구, 한국항만경제학회지, 제27권 제2호, 217-240.
  11. Adland, R., Jia, H. and S. Strandenes(2006), Asset Bubbles in Shipping? An Analysis of Recent History in the Drybulk Market, Maritime Economics & Logistics, 8(3), 223-233. https://doi.org/10.1057/palgrave.mel.9100162
  12. Alizadeh, A. and N. K. Nomikos(2007), Investment Timing and Trading Strategies in the Sale and Purchase Market for Ships, Transportation Research Part B: Methodological, 41(1), 126-143. https://doi.org/10.1016/j.trb.2006.04.002
  13. Beenstock, M.(1985), A Theory of Ship Prices, Maritime Policy and Management, 12, 215-225. https://doi.org/10.1080/03088838500000028
  14. Beenstock, M. and A. Vergottis(1989), An Econometric Model of the World Market for Dry Cargo Freight and Shipping, Applied Economics, 21(3), 339-356. https://doi.org/10.1080/758522551
  15. Chiste, C. and G. V. Vuuren(2014), Investigating the Cyclical Behavior of the Dry Bulk Shipping Market, Maritime Policy & Management, 41 (1), 1-19: doi:10.1080/03088839.2013.780216.
  16. Choi, I.(2001), Unit Root Tests for Panel Data, Journal of International Money and Finance, 20, 249-272. https://doi.org/10.1016/S0261-5606(00)00048-6
  17. Engle, R. F. and C. W. J. Granger(1987), Co-Integration and Error-Correction: Representation, Estimation, and Testing, Econometrica, 55, 251-276. https://doi.org/10.2307/1913236
  18. Fisher, R. A.(1932), Statistical Methods for Research Workers, 4th edition. Oliver and Boyd, Edinburgh.
  19. Granger, C. W. J.(1969), Investigating Causal Relations by Econometric Models and Cross-spectral Methods, Econometrica, 37 (3), 424-438. https://doi.org/10.2307/1912791
  20. Gkochari, C.(2015), Optimal Investment Timing in the Dry Bulk Shipping Sector, Transportation Research Part E: Logistics and Transportation Review, 79, 102-109. https://doi.org/10.1016/j.tre.2015.02.018
  21. Im, K. S., M. Pesaran, M. Hashem and Y. Shin, (2003), Testing for Unit Roots in Heterogeneous Panels, Journal of Econometrics, 115(1), 53-74. https://doi.org/10.1016/S0304-4076(03)00092-7
  22. Haralambides, H. E., S. D. Tsolakis and C. Cridland(2004), Econometric Modelling Of Newbuilding And Secondhand Ship Prices, Research in Transportation Economics, 12, 65-105. https://doi.org/10.1016/S0739-8859(04)12003-9
  23. Hawdon, D.(1978), Tanker Freight Rates in the Short and Long Run, Applied Economics, 10(3), 203-218. https://doi.org/10.1080/758527274
  24. Kalouptsidi, M.(2014), Time to Build and Fluctuations in Shipping, American Economic Review, 104(2), 564-608. https://doi.org/10.1257/aer.104.2.564
  25. Kavussanos, M. G.(1997). The Dynamics of Time-varying Volatilities in Different Size Second-hand Ship Prices of the Dry-cargo Sector, Applied Economics, 29(4), 433-443. https://doi.org/10.1080/000368497326930
  26. Kavussanos, M. G. and A. H. Alizadeh-M(2001), Seasonality Patterns in Dry Back Shipping Spot and Time Charter Freight Rates, Transportation Research Part E, 37(6), 443-467. https://doi.org/10.1016/S1366-5545(01)00004-7
  27. Kavussanos, M. G. and A. H. Alizadeh(2002), Efficient Pricing of Ships in the Dry Bulk Sector of the Shipping Industry, Maritime Policy & Management, 29(3), 303-330. https://doi.org/10.1080/03088830210132588
  28. Koekebakker, S. and R. Adland(2004), Market Efficiency in the Second-hand Market for Bulk Ships, Maritime Economics and Logistics, 6(1), 1-15. https://doi.org/10.1057/palgrave.mel.9100092
  29. Kou, Y., L. Liu and M. Luo(2014), Lead-lag Relationship Between New-Building and Second-hand Ship Prices, Maritime Policy & Management, 41(4), 303-327. https://doi.org/10.1080/03088839.2013.821209
  30. Levin, A., C. F. Lin and C. S. J. Chu(2002), Unit Root Tests in Panel Data: Asymptotic and Finite-sample Properties. Journal of Econometrics, 10, 1-24. https://doi.org/10.1016/0304-4076(79)90060-5
  31. Lin, F. and N. C. S. Sim(2013), Trade, Income and the Baltic Dry Index. European Economic Review, 59(4), 1-18. https://doi.org/10.1016/j.euroecorev.2012.12.004
  32. Rau, P. and S. Spinler(2016), Investment into Container Shipping Capacity: A Real Options Approach in Oligopolistic Competition, Transportation Research Part E: Logistics and Transportation Review, 93, 130-147. https://doi.org/10.1016/j.tre.2016.05.012
  33. Sodal, S., S. Koekebakker and R. Adland(2009), Trading Rules With Analytical Ship Valuation under Stochastic Freight Rates, Applied Economics, 41(22), 2793-2807. https://doi.org/10.1080/00036840701720853
  34. Stopford, M.(2009), Maritime Economics, 3rd ed. Routledge, London.
  35. Strandenes, S. P.(1984), Price Determination in the Time Charter and Second Hand Markets, Center for Applied Research, Norwegian School of Economics and Business Administration, Working Paper MU, 6.
  36. Toda, H. Y. and T. Yamamoto(1995), Statistical Inference in Vector Autoregressions with Possibly Integrated Processes, Journal of Econometrics, 66, 225-250. https://doi.org/10.1016/0304-4076(94)01616-8
  37. Tsouknidis, D. A.(2016), Dynamic Volatility Spillovers across Shipping Freight Markets. Transportation Research Part E, 91, 90-111. https://doi.org/10.1016/j.tre.2016.04.001
  38. Tvedt, J.(2003), A New Perspective on Price Dynamics of the Dry Bulk Market, Maritime Policy & Management, 30(3), 221-230. https://doi.org/10.1080/0308883032000133413

Cited by

  1. 핸디사이즈 운임지수 및 스팟용선료 변화에 영향을 미치는 요인 분석 vol.37, pp.2, 2020, https://doi.org/10.38121/kpea.2021.06.37.2.73