한국항만경제학회지 (Journal of Korea Port Economic Association)

  • 제39권4호
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  • Pages.223-242
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  • 2023
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  • 1225-3855(pISSN)
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  • 2714-1330(eISSN)
한국항만경제학회 (The Korea Port Economic Association)
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주파수 연계성 방법을 적용한 해상운임지수와 상품시장의 전이효과분석

Analysis of the Spillover Effect of the Freight Rate Market and Commodity Market Using the Frequency Connectedness Method

  • 투고 : 2023.12.06
  • 심사 : 2023.12.28
  • 발행 : 2023.12.31
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초록

본 연구는 상품시장과 해상운임시장 간의 수익률 및 변동성 전이효과를 다양한 주파수 영역(단기, 중기, 장기)에서 분석하였다. 본 연구의 주요 결과를 요약하면 다음과 같다. 첫째, 수익률 관점에서는 단기적으로 상품시장과 해상운임시장 간에 높은 연계성이 나타나며, 금속 상품시장은 특히 이러한 정보전이효과에서 중요한 역할을 하는 것으로 나타났다. 둘째, 변동성 관점에서는 총 연계성이 단기에서 장기로 갈수록 증가하는 것이 관찰되며, 특히 BDI, BDTI, 농산물 및 에너지 상품 시장에서의 장기 위험 전이효과가 큰 것으로 나타났다. 특히, 주요 글로벌 사건 예를 들어 미·중 무역전쟁, COVID-19, 러시아-우크라이나 전쟁 기간에 에너지 상품시장의 위험 전이효과가 급격히 증가하는 것이 확인되었다.

This study analyzes the spillover effects of returns and volatility between the commodity market and the maritime freight market across various frequency domains (short-term, medium-term, long-term). The key findings of the study can be summarized as follows. First, from the perspective of returns, a high linkage is observed in the short-term between the commodity and maritime freight markets, with the metal commodities market playing a particularly significant role in information transmission effect of return series. Second, in terms of volatility, the total connectedness increases from the short- to the long-term, with substantial long-term risk transmission effects observed especially in the BDI, BDTI, agricultural, and energy commodity markets. Notably, during major global events such as the U.S.-China trade war, COVID-19, and the Russia-Ukraine conflicts, a marked increase in the risk transmission effect in the energy commodities market was identified.

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과제정보

이 과제는 부산대학교 기본연구지원사업(2년)에 의하여 연구되었음

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