Browse > Article
http://dx.doi.org/10.22156/CS4SMB.2019.9.12.047

A Study on the Causal Relationship Between Shipping Freight Rates  

Jeon, JunWoo (Department of East Asian Studies & Logistics, SungKyul University)
Publication Information
Journal of Convergence for Information Technology / v.9, no.12, 2019 , pp. 47-53 More about this Journal
Abstract
The purpose of the study was to utilize VECM(Vector Error Correction Model) and detect causal relationships among shipping freight rates. Shipping freight rates used in this study were BDI(Baltic Dry Index), HRCI(Howe Robinson Containership Index), WS(World Scale rate) and SCFI(Shanghai Containerized Freight Index). Using weekly data published since August 2nd, 2013 to September 6th, 2019, it was discovered that BDI and WS were heavily influenced by past week's BDI and WS respectively. VECM also found that one percent increase in WS resulted in 0.022% increase in following week's HRCI data. One percent increase in HRCI affects SCFI by 0.77% on the following week. This study believes that finding may help each shipping market of shipping freight rates estimates, thereby encouraging decision markers to exercise discretion and establish best interest decision.
Keywords
Shipping freight rates; VECM; Unit root test; Cointegration test; BDI; CCFI; WS;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
연도 인용수 순위
1 J. Randers. & U. Goluke. (2007). Forecasting turning points in shipping freight rates: lessons from 30 years of practical effort. System Dynamics Review, 23(23), 253-284.   DOI
2 A. W. Veenstra & P. H. Franses. (1997). A co-integration approach to forecasting freight rates in the dry bulk shipping sector. Transportation Research Part A: policy and practice, 31(6), 447-458.   DOI
3 M. G. Kavussanos. & A. H. Alizadeh-M. (2001). Seasonality patterns in dry bulk shipping spot and time charter freight rates. Transportation Research Part E: Logistics and Transportation Review, 37(6), 443-467. DOI : 10.1016/S1366-5545(01)00004-7   DOI
4 G. Dikos. H. S. Marcus, M. P. Papadatos. & V. Papakonstantinou. (2006). Niver lines: a system-dynamics approach to tanker freight modeling. Interfaces, 36(4), 326-341.   DOI
5 F. Papailias. D. D. Thomakos & J. Liu, (2017). The Baltic Dry Index: cyclicalities, forecasting and hedging strategies. Empirical Economics, 52(1), 255-282.   DOI
6 C. Chistè.. & G. Van Vuuren. (2014). Investigating the cyclical behaviour of the dry bulk shipping market. Maritime Policy & Management, 41(1), 1-19.   DOI
7 H. K. Kim., K. D. Sung, J. W. Jeon & G. T. Yeo. (2016). Analysis of the Relationship Between Freight Index and Shipping Company's Stock Price Index, The Journal of Digital Policy & Management, 14(6), 157-165.
8 H. S. Kim & M. H. Jang, (2013). Analysis of Asymmetric Long-run Equilibrium between Bunker Price and BDI(Baltic Dry-bulk Index). Journal of Korea Port Economic Association, 28(2), 63-79.
9 H. S. Kim & Y. S. Oh. (2012). Empirical Approaches to Testing the Relationship Between Stock Price and BDI. The Journal of the Korean Association of Shipping Studies, 28(4), 687-702.
10 J. Angelopoulos. O. Duru. & C. Chlomoudis. (2016). Spectral dynamics of dry cargo shipping markets. theory of long waves-fact or artifac. International Journal of Transport Economics. 43(2), 224-227.
11 R. F. Engle & C. W. Granger. (1987) Co-integration and Error Correction: Representation, Estimation and Testing. Econometrica, 55, 251-276. DOI : 10.2307/1913236   DOI
12 C. W. Granger. (1988). Some recent development in a concept of causality. Journal of econometrics, 39(2), 199-211. DOI : 10.1016/0304-4076(88)90045-0   DOI
13 H. Geman. & W. O. Geman. (2012). Shipping markets and freight rates: an analysis of the Baltic Dry Index. The Journal of Alternative Investments, 15(1), 98-109. DOI : abs/10.3905/jai.201   DOI
14 R. Scarsi. (2007). The bulk shipping business: market cycles and shipowners' biases. Maritime Policy & Management, 34(6), 577-590.   DOI
15 J. W. Jeon & G. T. Yeo. (2017). Study of the Optimal Timing of Container Ship Orders Considering the Uncertain Shipping Environment. The Asian Journal of Shipping and Logistics, 33(2), 85-93. DOI : 10.1016/j.ajsl.2017.06.006   DOI
16 B. Geman. (1984). Shipping investment in recession. Institute of Shipping Economics Bremen.