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http://dx.doi.org/10.38121/kpea.2022.3.38.2.153

Quantile Co-integration Application for Maritime Business Fluctuation  

Kim, Hyun-Sok (부산대학교 경제학과)
Publication Information
Journal of Korea Port Economic Association / v.38, no.2, 2022 , pp. 153-164 More about this Journal
Abstract
In this study, we estimate the quantile-regression framework of the shipping industry for the Capesize used ship, which is a typical raw material transportation from January 2000 to December 2021. This research aims two main contributions. First, we analyze the relationship between the Capesize used ship, which is a typical type in the raw material transportation market, and the freight market, for which mixed empirical analysis results are presented. Second, we present an empirical analysis model that considers the structural transformation proposed in the Hyunsok Kim and Myung-hee Chang(2020a) study in quantile-regression. In structural change investigations, the empirical results confirm that the quantile model is able to overcome the problems caused by non-stationarity in time series analysis. Then, the long-run relationship of the co-integration framework divided into long and short-run effects of exogenous variables, and this is extended to a prediction model subdivided by quantile. The results are the basis for extending the analysis based on the shipping theory to artificial intelligence and machine learning approaches.
Keywords
Maritime Business Cycle; Quantile Regression; Quantile Co-integration;
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