:::

詳目顯示

回上一頁
題名:波羅的海運價綜合指數與鋼價指數相關性之分析--以VAR模型之應用
書刊名:運輸學刊
作者:周明道 引用關係林仕展
作者(外文):Chou, Ming-taoLin, Shih-chan
出版日期:2010
卷期:22:2
頁次:頁211-232
主題關鍵詞:波羅的海運價綜合指數散裝海運市場向量自我迴歸模型Baltic Dry IndexBulk shipping marketVAR model
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(3) 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:3
  • 共同引用共同引用:9
  • 點閱點閱:47
散裝航運市場近趨於完全競爭市場,市場運價具有高度不確定性,因此對於營運者而言存在著巨大的市場營運風險。波羅的海運價綜合指數為散裝船業者與相關產業掌握散裝海運市場運價變化之主要參考指標,船東或傭船人如能掌握未來的運價趨勢,將能有效降低航運市場風險,對其投資營運將有很大的幫助。由於散裝海運市場運價是由船噸供給與需求決定,2003年起中國經濟建設蓬勃發展,帶動國際海運需求增加。散裝船主要運送工業原物料為主,所以本研究對散裝波羅的海運價綜合指數與全球鋼價指數做關聯性分析並建構其模型。本文研究方法採用時間數列之向量自我迴歸模型為主,資料選取期間為2000年6月至2008年5月之週資料。實證結果顯示,波羅的海運價綜合指數與全球鋼價指數呈現單向影響關係,本研究結果證明波羅的海運價綜合指數以全球鋼價指數為領先的指標。當鋼品價格上漲時,將會帶動海運市場運價指數的上漲,本文結果符合海運運輸需求為經濟發展之引申需求條件,本文研究結果將可以提供散裝海運市場決策者之參考。
The bulk shipping market is a market that is close to perfect competition, and its freight rate and charter hire has a high degree of uncertainty. Thus shipowners and charterers in the market may encounter extremely high investment risks. The Baltic Dry Index (BDI) is used by the bulk shipping industry and its related industries to foretell the future freight trend. If shipowners and charterers can forecast and analyze BDI, they can effectively reduce shipping market risks and increase shipping profitability. The freight rate of dry-bulk shipping is determined by vessel supply and vessel demand. Many recent infrastructure construction projects in China have boosted demand on seaborne trade and transportation, especially for the shipping of industrial raw materials by bulk carriers. This research looks into the relationships between BDI and steel price index by constructing BDI model for the bulk shipping industry and discusses its accuracy. The relationships between the variables were found by using the Vector Autoregressive Model. The data employed in this research were weekly data from June 2000 to May 2008. The result of this study indicates that BDI and steel price index exhibit significant uni-directional influence and verifies that steel price index is the leading indicator to BDI. It shows that the rise of steel price will increase the freight rate in dry-bulk shipping sectors. This research confirms that the demand for transportation is a derived demand of the other economic activities. The results of this paper can be used by shipowners and charterers in chartering decision-making.
期刊論文
1.鍾政棋、徐嘉陽、林宥勝(20090300)。散裝波羅地海海岬型船市場與BCI指數之預測。運輸學刊,21(1),25-45。new window  延伸查詢new window
2.Tiao, G. C.、Tsay, R. S.(1983)。Multiple time series modeling and extended sample cross-correlations。Journal of Business and Economics Statistics,1(1),43-56。  new window
3.Alizadeh, A. H.、Nomikos, K. N.(2003)。The Price-volume Relationship in the Sale and Purchase Market for Dry Bulk Vessels。Maritime Policy and Management,30(4),321-337。  new window
4.Kavussanos, M. G.、Alizadeh-M, A. H.(2001)。Seasonality Patterns in Dry Bulk Shipping Spot and Time Charter Freight Rates。Transportation Research Part E: Logistics and Transportation Review,37(6),443-467。  new window
5.Cullinane, K.(1995)。A Portfolio Analysis of Market Investments in Dry Bulk Shipping。Transportation Research Part B: Methodological,29(3),181-200。  new window
6.Veenstra, A. W.、Franses, P. H.(1997)。A Co-integration Approach to Forecasting Freight Rates in the Dry Bulk Shipping Sector。Transportation Research Part A: Policy and Practice,31(6),447-458。  new window
7.Batchelor, R.、Alizadeh, A.、Visvikis, I.(2007)。Forecasting spot and forward prices in the international freight market。International Journal of Forecasting,23(1),101-114。  new window
8.Hillmer, S. C.、Tiao, G. C.(1979)。Likelihood function of stationary multiple autoregressive moving average models。Journal of the American Statistical Association,74(367),652-660。  new window
9.Tiao, G. C.、Box, G. E. P.(1981)。Modeling Multiple Time Series with Applications。Journal of the American Statistical Association,76(376),802-816。  new window
10.Granger, Clive W. J.(1969)。Investigating causal relations by econometric models and cross-spectral methods。Econometrica: Journal of the Econometric Society,37(3),424-438。  new window
11.楊鈺池、王志敏(20061200)。海岬型船租金費率與船價波動關係之時間序列研究。運輸計劃,35(4),415-441。new window  延伸查詢new window
12.吳少平(2005)。「我國經濟運行宏觀調控展望」。經濟與管理研究,第三期,頁 7-11。  延伸查詢new window
13.陳永順(2006)。「國際散裝乾貨船海運市場行情分析」。船舶與海運通訊,第二十八期,頁 10-14。  延伸查詢new window
14.陳永順(2006)。「國際散裝乾貨船海運市場行情分析」。船舶與海運通訊,第三十四期,頁 12-17。  延伸查詢new window
15.陳永順(2006)。「國際散裝乾貨船海運市場行情分析」。船舶與海運通訊,第三十六期,頁 12-17。  延伸查詢new window
16.陳永順(2007)。「國際散裝乾貨船海運市場行情分析」。船舶與海運通訊,第四十八期,頁 12-19。  延伸查詢new window
17.陳永順(2008)。「國際散裝乾貨船海運市場行情分析」。船舶與海運通訊,第四十九期,頁 15-21。  延伸查詢new window
18.Kavussanos, M. G.(1996)。Price Risk Modeling of Different Size Vessels in the Tanker Industry Using Autoregressive Conditional Heteroscedastic (ARCH) Models。The Logistics and Transportation Review,32(2),161-176。  new window
19.Kavussanos, M. G.(2003)。“Time Varying Risks Among Segments of the Tanker Freight Markets,”。Maritime Economics and Logistics,vol. 5;no.3,pp. 227-250。  new window
20.Kavussanos, M. G. and Nomikos, N. K.(2003)。“Price Discovery, Causality and Forecasting in the Freight Futures Market,”。Review of Derivatives Research,vol. 6;no. 3,pp. 203-230。  new window
21.Kavussanos, M. G., Visvikis, I. D., and Batchelor, R. A.(2004)。“Over-the-counter Forward Contracts and Spot Price Volatility in Shipping,”。Transportation Research Part E,vol. 40;no. 4,pp. 273-296。  new window
會議論文
1.謝尚行、李思慧(2007)。「散裝海運運價之決定因素與趨勢預測」頁 B1-43 - B1-60。  延伸查詢new window
2.UNCTAD(1997)。Review of Maritime Transport。New York and Geneva。  new window
學位論文
1.陳永順(2004)。價格波動與最適避險模型之研究--以散裝乾貨船市場為例(博士論文)。國立臺灣海洋大學。new window  延伸查詢new window
圖書
1.陳永順(2005)。散裝海運經營學理論與實務。臺北市:文笙書局。  延伸查詢new window
2.Liu, L. M.、Gregory, B. H.(2004)。Forecasting and Time Series Analysis Using the SCA Statistical System Volume 1 and 2。USA:Scientific Computing Associates Corp。  new window
3.林茂文(2006)。時間數列分析與預測:管理與財經之應用。臺北:華泰文化事業股份有限公司。  延伸查詢new window
4.楊奕農(2005)。時間序列分析--經濟與財務上之應用。臺北:雙葉書廊有限公司。  延伸查詢new window
5.陳永順(2006)。「散裝乾貨船市場租金費率、新船價與原物料價格間變動關聯性之研究」。航運、港埠與物流的新挑戰。  延伸查詢new window
6.Clarkson Research Studies(2010)。Shipping Intelligence Weekly。London:。  new window
7.International Iron and Steel Institute(2010)。Steel Statistical Yearbook 2008。  new window
8.The Baltic Exchange(2008)。Manual for Panellists – A Guide to Freight Reporting and Index Production。London。  new window
 
 
 
 
第一頁 上一頁 下一頁 最後一頁 top