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Bayesian VAR Analysis of Dynamic Relationships among Shipping Industry, Foreign Exchange Rate and Industrial Production  

Kim, Hyunsok (부산대학교 경제학부)
Chang, Myunghee (한국해양대학교 해운경영학부)
Publication Information
Journal of Korea Port Economic Association / v.30, no.2, 2014 , pp. 77-92 More about this Journal
Abstract
The focus of this study is to analyse dynamic relationship among BDI(Baltic Dry-bulk Index, hereafter BDI), forex market and industrial production using monthly data from 2003-2013. Specifically, we have focused on the investigations how monetary and real variable affect shipping industry during recession period. To compare performance between general VAR and Bayesian VAR we first examine DAG(Directed Acyclic Graph) to clarify causality among the variables and then employ MSFE(mean squared forecast error). The overall estimated results from impulse-response analysis imply that BDI has been strongly affected by other shock, such as forex market and industrial production in Bayesian VAR. In particular, Bayesian VAR show better performance than general VAR in forecasting.
Keywords
BDI; Foreign Exchange Rate; Industrial Production; Bayesian VAR;
Citations & Related Records
Times Cited By KSCI : 4  (Citation Analysis)
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