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http://dx.doi.org/10.38121/kpea.2020.06.36.2.109

The Causal Relationship Test between Marine Business Cycle and Shipping Market Using Heterogeneous Mixed Panel Framework  

Kim, Hyun-Sok (부산대학교 경제학부)
Chang, Myung-Hee (한국해양대학교 해운경영학부)
Publication Information
Journal of Korea Port Economic Association / v.36, no.2, 2020 , pp. 109-124 More about this Journal
Abstract
Using panel data on freight rates and ship prices in the dry freighter market from January 2015 to December 2019, this study investigates the characteristics of shipping industry fluctuations. The analysis aims at two aspects of academic contribution. First, this study analyzes the relationship between shipping indicators and ship price based on separate dry-bulk ships, while the previous research considered the overall shipping index and weighted average ship prices. Second, the VAR model for the causality test is extended to a heterogeneous mixed panel model capable of limiting coefficients. There is a peak estimated by removing the cross-correlation problem, which is mainly raised in panel data analysis, using bootstrap estimation and solving the problem of information loss due to differences in non-stationary data. An empirical investigation of the causal relationship between economic fluctuations and ship price shows that the effect on the ship price from the freight is significant at the 1% level. This implies that there is a one-way relationship with demand in the shipping industry rather than a bilateral relationship.
Keywords
Ship price; Rational bubble; Integration; Cointegration;
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