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外文摘要
引文資料
題名:
船舶價格與運費波動之關聯分析
書刊名:
管理與系統
作者:
吳偉銘
/
洪榮良
作者(外文):
Wu, Wei-ming
/
Hung, Jung-liang
出版日期:
2011
卷期:
18:3
頁次:
頁529-549
主題關鍵詞:
Hedonic函數
;
不定期海運
;
共整合分析
;
衝擊反應
;
Hedonic function
;
Tramp shipping
;
Cointegration analysis
;
Impulse response
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
1
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
1
共同引用:
4
點閱:71
本研究首先藉由Hedonic函數方法來建構綜合船價指數,以克服資料不對稱問題。之後,再以VAR模型來探討不定期海運市場中各價格波動間之關聯。本研究經由共整合分析發現:新造船、二手船、報廢船及貨運市場之價格波動,確實呈現環環相扣之連動關係,並且是一穩定之長期均衡關係。短期上,前期報廢船價波動,將可作為新造船與二手船價之先期變動指標。然面對市場價格體系之短期失衡時,貨運市場之調整最敏感,而新造船則較遲緩。另外,報廢船價波動干擾對二手船價之衝擊影響最直接且快速;相對的,運費波動干擾對二手船價之衝擊影響卻較溫和但深遠。另外,運費水準則受來自二手船價波動之衝擊影響最大。而報廢船舶價格之衝擊反應,主要是受來自貨運市場之價格波動影響。最後,新造船價之波動反應主要是反應影響造船成本之鋼鐵價格變動,所以其受報廢船價格波動之衝擊影響最大。
以文找文
In order to solve the problem of asymmetric data, this study has firstly applied Hedonic function to construct a set of comparable ship price indices. A vector autoregressive (VAR) model is then formulated to investigate the relationship between the price fluctuations of shipbuilding, secondhand ship, scrapping ship and freight markets in the international tramp shipping industry. By utilizing the co-integration analysis, this study suggests that the price fluctuations from the four aforementioned markets are closely interdependent and show a stable long-term equilibrium relationship. In the short term, the previous price fluctuation of scrapping ship market could be viewed as an indicator for the price fluctuations of both new shipbuilding and secondhand ship markets. When the market price structure shows temporary disequilibria, the freight market has the most sensitive adjustment, different from the new shipbuilding market that reacts in fairly sluggish. In responding to the price shock of scrapping ship market, the price adjustment of secondhand ship market is strong and quick; however, when triggered by the price shock of freight market, its price adjustment is moderate and can last for a long while. In addition, the price shock of secondhand ship market plays a crucial role to trigger the impulse response of freight market. The price adjustment of scrapping market is mainly caused by the price shock of freight market. In reflection with the concern of the steel cost on shipbuilding, the price shock of scrapping ship market has the largest impact on the price adjustment of shipbuilding market.
以文找文
期刊論文
1.
溫珮伶、林晉勗、林師模(20081200)。國際原物料價格與散裝海運運價指數之連動及其對運價指數預測之影響。運輸學刊,20(4),351-375。
延伸查詢
2.
Hawdon, D.(1978)。Tanker freight rates in the short and long run。Applied Economics,1(10),203-217。
3.
Kavussanos, M. G.、Visvikis, I. D.(2006)。Shipping Freight Derivatives: A Survey of Recent Evidence.。Maritime Policy and Management,33(3),223-235。
4.
Tsolakis, S.、Cridland, C.、Haralambides, H.(2003)。Econometric Modelling of Second-hand Ship Prices。Maritime Economics & Logistics,5(4),347-377。
5.
Glen, D. R.(1997)。The Market for Second-hand Ships: Further Results on Efficiency Using Cointegration Analysis。Maritime Policy and Management,24(3),245-260。
6.
Hale, C.、Vanags, A.(1992)。The Market for Second-hand Ships: Some Results on Efficiency Using Cointegration.。Maritime Policy and Management,19(1),31-40.。
7.
Beenstock, M.(1985)。A Theory of Ship Prices。Maritime Policy and Management,12(3),215-225。
8.
Kavussanos, M. G.、Alizadeh-M, A. H.(2002)。Efficient Pricing of Ships in the Dry Bulk Sector of the Shipping Industry。Maritime Policy and Management,29(3),303-330。
9.
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。
10.
Gonzalo, Jesus(1990)。Five Alternative Methods of Estimating Long-run Equilibrium Relationships。Journal of Econometrics,60(2),203-233。
11.
Osterwald-Lenum, M.(1992)。A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics。Oxford Bulletin of Economics and Statistics,54(3),461-471。
12.
Granger, C. W. J.、Newbold, P.(1974)。Spurious Regression in Econometrics。Journal of Econometrics,2(2),111-120。
13.
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。
14.
Engle, Robert F.、Granger, Clive W. J.(1987)。Cointegration and Error Correction: Representation, Estimation, and Testing。Econometrica,55(2),251-276。
15.
吳偉銘、陳奕誠(20090300)。二手貨櫃船舶價格指數之建構--Hedonic價格迴歸模型之應用。運輸學刊,21(1),1-23。
延伸查詢
16.
Said, S. E.、Dickey, David A.(1984)。Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order。Biometrika,71(3),599-607。
17.
陳永順;王旭堂(2003)。國際海運産業投資報酬時間變動相關性之實證研究。航運季刊,12(4),23-41。
延伸查詢
18.
Adland, A. O. S.、Koekebakker, S.(2004)。Market Efficiency in the Second-hand Market for Bulk Ships。Maritime Economics & Logistics,6(1),1-15。
19.
Beenstock, M.、Vergottis, A.(1989)。An Econometric Model of the World Tanker Market。Journal of Transport Economics and Policy,23,263-280。
20.
Beenstock, M.、Vergottis, A.(1989)。An Econometric Model of the World Market for Cargo Freight and Shipping。Applied Economics,21,339-356。
21.
Berndt, E. R.、Griliches, Z.、Rappaport, N. J.(1995)。Econometric Estimates of Price Indexes for Personal Computers in the 1990's.。Journal of Econometrics,68,243-268.。
22.
Knight, J. R.、Dombrow, J.、Sirmansx, C.(1995)。A Varying Parameters Approach to Constructing House Indexes.。Real Estate Economics,23(2),187-205。
23.
Kulshreshtha, M.、Nag, B.、Kulshreshtha, M.(2001)。A Multivariate Cointegration Vector Autoregressive Model of Freight Transport Demand: Evidence from Indian Railways.。Transportation Research Part A,35(1),29-45.。
24.
Glen, D.(2006)。The Modeling of Dry Bulk and Tanker Markets: A Survey.。Maritime Policy and Management,33(5),431-445.。
25.
Goulielmos, A. M.、Psifia, M.(2007)。A Study of Trip and Time Charter Freight Rate Indices: 1968-2003。Maritime Policy and Management,34(1),55-67。
26.
Harhoff, D.、Moch, D.(1997)。Price Indexes for PC Database Software and the Value of Code Compatibility。Research Policy,26,509-520。
27.
Charemza, W.、Gronicki, M(1981)。An Econometric Model of World Shipping and Shipbuilding。Maritime Policy and Managements,8(1),21-30.。
28.
Tvedt, J.(2003)。Shipping Market Models and the Specification of Freight Rate Processes。Maritime Economics & Logistics,5,327-346.。
29.
Merikas, A. G.、Merika, A. A.、Koutroubousis, G.(2008)。Modeling the Investment Decision of the Entrepreneur in the Tanker Sector: Choosing between a Second-hand Vessel and a Newly Built One.。Maritime Policy and Management,35(5),433-447。
30.
Murray, J.、Sarantis, N.(1999)。Price-Quality Relations and Hedonic Price Indexes for Cars in the United Kingdom.。International Journal of the Economics ofBusiness,6(1),5-27。
圖書
1.
Maddala, Gangadharrao S.、Kim, In-Moo(1998)。Unit Roots, Cointegration, and Structural Change。Cambridge:Cambridge University Press。
2.
Stopford, M.,(1997)。Maritime Economics,。London。
3.
Beenstock, M.、Vergottis, A.,(1993)。Econometric Modeling of World Shipping。London。
4.
Enders, W.,(2001)。Applied Econometric Time Series, 2nd ed.,。
圖書論文
1.
Mackinnon, J. G.(1991)。Critical Values for Cointegration Tests。Long-Run Economic Relationships: Readings in Cointegration。New York。
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