무역학회지 (Korea Trade Review)

한국무역학회 (Korea Trade Research Association)
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제철원료 운송시장의 변동성 전이 분석에 대한 연구

A Study on the Volatility Transition of Steel Raw Material Transport Market

  • 황요평 (중앙대학교 무역물류학과) ;
  • 오예은 (중앙대학교 무역물류학과) ;
  • 박근식 (중앙대학교 국제물류학과)
  • Yo-Pyung Hwang (Department of Trade and Logistics, Chung-Ang University) ;
  • Ye-Eun Oh (Department of Trade and Logistics, Chung-Ang University) ;
  • Keun-Sik Park (Department of International Logistics, Chung-Ang University)
  • 투고 : 2022.08.03
  • 심사 : 2022.08.29
  • 발행 : 2022.08.30
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초록

Analysis and forecasting of the Baltic Capsize Index (BCI) is important for managing an entity's losses and risks from the uncertainty and volatility of the fast-changing maritime transport market in the future. This study conducted volatility transition analysis through the GARCH model, using BCI which is highly related to steel raw materials. As for the data, 2,385 monthly data were used from March 1999 to March 2021. In this study, after basic statistical analysis, unit root and cointegration test, the GARCH, EGARCH, and DCC-GARCH models were used for volatility transition analysis. As the results of GARCH and EGARCH model, we confirmed that all variables had no autocorrelation between the standardized residuals for error terms and the square of residuals, that the variability of all variables at this time was likely to persist in the future, and that the variability of the time-series error term impact according to Iron ore trade (IoT). In addition, through the EGARCH model, the magnitude convenience of all variables except the Iron ore price (IOP) and Capesize bulk fleet (BCF) variables was greater than the positive value (+). As a result of analyzing the DCC-GARCH (1,1) model, partial linear combinations were confirmed over the entire period. Estimating the effect of variability transition on BCF and C5 with statistically significant linear combinations with BCI confirmed that the impact of BCF on BCI was greater than the impact of BCI itself.

키워드

과제정보

This research was supported by the 4th Educational Training Program for the Shipping, Port and Logistics from the Ministry of Ocean and Fisheries.

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