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Analysis of dependency structure between international freight rate index and crude oil price  

Kim, Bu-Kwon (부산대학교 경제학부)
Kim, Dong-Yoon (부산대학교 무역학부)
Choi, Ki-Hong (부산대학교 경제통상연구원)
Publication Information
Journal of Korea Port Economic Association / v.35, no.4, 2019 , pp. 107-120 More about this Journal
Abstract
Crude oil is a resource that is being used as a raw material in major industries, representing the price of the raw material market. It is also an important element that affects the shipping market in terms of fuel costs for freight vessels. As a result, crude oil and freight rates are closely related. Therefore, from January 2009 to June 2019, this study analyzed the dependency structure between oil price (WTI) and freight rates (BDI, BCI, BPI, BSI, and BHI) using daily data. The main results are summarized as follows. First, according to the copula results, survival Gumbel copula in WTI-BDI, Clayton copula in WTI-BCI, Survival Joe copula in WTI-BPI, Joe copula in WTI-BSI, and survival Gumbel copula in WTI-BHI were selected as the best-fitted model. Second, looking at Kendall's tau correlation, there is a positive correlation between BDI and oil price. Furthermore, freight rate index (BCI, BPI, BSI) and oil price show positive dependencies. In particular, the strongest dependence was found in BCI and oil price returns. However, BHI and oil price show a negative dependency. Third, looking at the tail-dependency structure, a pair between oil price and BDI, BCI showed a lower tail-dependency. The pair between oil price and BSI showed the upper tail-dependency.
Keywords
Baltic dry Index; Index ship; Oil price; Copula model;
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Times Cited By KSCI : 1  (Citation Analysis)
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