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題名:海岬型船租金費率與船價波動關係之時間序列研究
書刊名:運輸計劃
作者:楊鈺池 引用關係王志敏
作者(外文):Yang, Yi-chihWang, Chih-min
出版日期:2006
卷期:35:4
頁次:頁415-441
主題關鍵詞:船價租金散裝船變異數分解法Ship priceHireBulk carrierVariance decomposition
原始連結:連回原系統網址new window
相關次數:
  • 被引用次數被引用次數:期刊(5) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:5
  • 共同引用共同引用:0
  • 點閱點閱:36
自 2003年起中國經濟建設發展,帶動海運需求的增加,尤其是載運鐵礦的海岬型散裝船無論在租金或是船價方面,皆呈現暴漲的趨勢。為探究近年來海運經濟是否存在變異特性,本文選擇以國際散裝乾貨船市場海岬型船標準船型即期與遠期租金對船價之影響作為實證研究標的,以實證方法探討租金與船價之領先或落後關係,以及衝擊反應關係。利用向量自我迴歸 (VAR)、衝擊反應分析 (impulse response analysis)、變異數分解法 (variance decomposition) 等分析方法,進行檢定海岬型船租金費率對於船價是否存有顯著的影響效應,以及了解新船與二手船價的變動間之相互影響關係。經研究結果發現,海岬型船租金對於新造船價沒有顯著影響力,且五年二手船價在短期受租金影響衝擊較大,長期還是受到新船船價單向影響,並發現海岬型船新船船價的變異值幾乎只能由本身過去的變異來解釋,惟五年二手船船價受過去租金的衝擊影響,在短期內較能解釋其變異情形,但是影響力極快消失,長期的變異情形有部分還是受到新船船價的衝擊所影響,且時間越長所產生的衝擊越大。
Strong infrastructure construction development in China has resulted in an increasing demand for sea transportation, especially the market for Capesize bulk carriers that transport iron ore has boosted recently. To examine the interactive relationships between the hire rate and ship price of Capesize bulk carriers as well as the price variances of newbuild ships and second-hand ships, we adopted the Vector Auto Regression, impulse response analysis and variance decomposition approaches. The findings of this study show that there is no significant relationship between the newbuild ship price and the hire rate of Capesize bulk carriers. The 5-year second-hand ship price impulse responds to the hire rate in short term and to newbuild ship price in long term. Moreover, the price variance of newbuild ships can only be well explained by their own past variance, and the 5-year second-hand ship price can be well explained by the past variance of the hire rate in short term, however, the strength of effect disappears very soon, and its long-term variance is also partially impacted by newbuild ship price.
期刊論文
1.Tsolakis, S.、Cridland, C.、Haralambides, H.(2003)。Econometric Modelling of Second-hand Ship Prices。Maritime Economics & Logistics,5(4),347-377。  new window
2.Glen, D. R.(1997)。The Market for Second-hand Ships: Further Results on Efficiency Using Cointegration Analysis。Maritime Policy & Management,24,245-260。  new window
3.Kavussanos, M. G.(1997)。The Dynamics of Time-varying Volatilities in Different Size Second-hand Ship Prices of the Dry-cargo Sector。Applied Economics,29(4),433-443。  new window
4.Beenstock, M.(1985)。A Theory of Ship Prices。Maritime Policy and Management,12(3),215-225。  new window
5.Dickey, David A.、Fuller, Wayne A.(1981)。Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root。Econometrica: journal of the Econometric Society,49(4),1057-1072。  new window
6.Johansen, Søren(1988)。Statistical Analysis of Cointegration Vectors。Journal of Economic Dynamics and Control,12(2/3),231-254。  new window
7.Johansen, Søren、Juselius, Katarina(1990)。Maximum Likelihood Estimation and Inference on Cointegration: with Applications to the Demand for Money。Oxford Bulletin of Economics and Statistics,52(2),169-210。  new window
8.Sims, Christopher A.(1980)。Macroeconomics and Reality。Econometrica: Journal of the Econometric Society,48(1),1-48。  new window
9.Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。  new window
10.Phillips, Peter C. B.、Perron, Pierre(1988)。Testing for a unit root in time series regression。Biometrika,75(2),335-346。  new window
11.Kavussanos, M. G.(1996)。Comparisons of Volatility in the Dry-cargo Ship Sector, Spot Versus Time-charters, and Smaller versus Larger Vessels。Journal of Transport Economics and Policy,30(1),67-82。  new window
圖書論文
1.Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。  new window
 
 
 
 
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