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Empirical Investigation to The Asymmetric Structure between Raw Material Price and Baltic Dry-bulk Index  

Kim, Hyun-Sok (부산대학교 경제학부)
Publication Information
Journal of Korea Port Economic Association / v.34, no.4, 2018 , pp. 181-190 More about this Journal
Abstract
The goal of this study is empirically to investigate the asymmetric relationship between two variables using the dry cargo freight rates and raw material price data from January 2012 to May 2018. First, we estimate the asymmetry of macroeconomic indicators of commodity prices by using a two - step threshold cointegration test. Second, the asymmetric relation test of the trade balance of existing commodity price changes is tested by bypassing to the high frequency dry cargo freight rate index. As a result of the estimation, in contrast to the existing linear analysis, each boundary value for the lower limit and the upper limit has different asymmetry. This implies that the period of fluctuation of the sudden residual that causes irregular rate of return fluctuations does not establish a long term equilibrium relationship between the raw material price and the dry cargo freight rate. Therefore, in order to consider the sudden price change in the analysis, it is necessary to include the band of inaction that controls the irregular volatility, which is consistent with the asymmetry hypothesis.
Keywords
Raw Material Price; Baltic Dry-bulk Index; Asymmetry Cointegration;
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