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The Spillover from Asset Determinants to Ship Price  

Choi, Youngjae (한국해양수산개발원)
Kim, Hyunsok (부산대학교 경제학과)
Publication Information
Journal of Korea Port Economic Association / v.32, no.2, 2016 , pp. 59-71 More about this Journal
Abstract
This study empirically examines the dynamic specification of the ship price model based on a vector autoregressive model and data covering from January 2000 to October 2014. Our results are summarized as follows: first, the relationship between ship price and interest rate shows significantly negative and the relationship between ship price and freight rate shows positive. It provides consistent implication that ship price depends on interest rate and freight rate under the dynamic Gordon model. Second, we apply an impulse response analysis to ship price and find the responses of the ship price from both factors, interest rate and freight rate, which affect during seven periods approximately. Finally, the results of a variance decomposition indicate that freight rate is more important than interest rate on the ship price.
Keywords
Ship price; Asset Pricing Theory; Spillover;
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Times Cited By KSCI : 1  (Citation Analysis)
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