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Relationship between Baltic Dry Index and Crude Oil Market  

Choi, Ki-Hong (부산대학교 사회급변현상연구소)
Kim, Dong-Yoon (부산대학교 무역학부)
Publication Information
Journal of Korea Port Economic Association / v.34, no.4, 2018 , pp. 125-140 More about this Journal
Abstract
This study uses daily price data on three major types of crude oil (Brent, Dubai, and WTI) and BDI from January 2, 2009 to June 29, 2018, to compare the relationship between crude oil prices and BDI for rate of change and volatility. Unlike previous studies, the correlation between BDI and crude oil prices was analyzed both the rate of change and variability, VARs, Granger Causality Test, and the GARCH and DCC models were employed. The correlation analysis, indicated that the crude oil price change rate and volatility affect the BDI change rate and that BDI volatility affects the crude oil price change rate and volatility. The relationship between oil prices and BDI is identified, but their correlation is low, which is likely a result of lower dependence on crude oil as demand for natural gas increases worldwide and demand for renewable energy decreases. These trends could result in lower correlations over time. Therefore, focusing on the changing demand for raw materials in future investments in international shipping(real economy) and oil markets and macroeconomic analysis is necessary.
Keywords
Baltic Dry Index; Crude Oil Prices; Volatility; Causality;
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