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国际干散货运价风险相关问题的实证研究

【作者】 宫进

【导师】 李序颖;

【作者基本信息】 上海海运学院 , 产业经济学, 2001, 硕士

【摘要】 波罗的海国际运费期货交易(BIFFEX)的诞生,为航运市场风险管理提供了一种新的管理手段,无论是租船人还是船东都可以运用期货交易实现运价(运费)套期保值以规避市场风险。 本文从BIFFEX期货价格的长期有效性检验入手,分析了这一期货交易的期货价格与现货价格之间的长期关系,并在此基础上,对BFI指数所代表的干散货运输市场现货价格的季节效应进行了分析,最后考察了BFI指数日收益率的尖峰厚尾特性,建立了相应的条件异方差模型对此进行拟合和预测,以帮助航运经营者更好地把握干散货运输市场规律,在价格风险面前力争掌握主动。 本文的各个章节安排如下: 第一章概述了BIFFEX运价期货市场的特征、作用和原理,并对其交易的对象——波罗的海运价指数BFI做了简要介绍。 第二章详细介绍了协整技术和误差修正机制,利用该技术分析了不同交割期的BIFFEX期货价格与相应现货价格之间的协整关系,发现三月期以内的期货价格是对到期现货价格的无偏预测,而四月期合约的期货价格与现货价格之间尽管也存在着协整关系,但前者并不是后者的无偏预测。在期货价格与现货价格组成的协整系统中,当冲击到来使两者偏离均衡状态时,基本上由期货价格而不是现货价格进行调整以恢复系统的均衡,说明现货价格对期货价格具有引导关系。递归检验证实了这一协整关系的稳定性。 第三章利用经济学原理分析了现货价格——BFI指数的运行规律,指出运力供给是导致国际航运市场兴衰的主要原因之一,是造成国际航运市场高峰期短、低谷期长的根本原因,并利用非参数检验方法考察了BFI指数波动的季节性,发现BFI指数确实存在着以日历年为周期的季节效应。 第四章从BFI指数日收益率的尖峰厚尾分布现象入手,分析了BFI指数波动的“丛集性”特征,并建立了一个EGARCH指数条件异方差预测模型,不仅对BFI指数作出了较准确的短期预测,也对BFI指数的变异程度作出了预报,从而较好地预测了未来的价格风险。 本文的主要贡献在于引入了协整技术和误差修正模型对航运市场的期货价格与现货价格的长期动态关系进行了考察,并首次建立了运价的条件异方差模型,较好地解释了运价的非正态分布特性。 国际干散货运价风险相关问题的实证研究 文中大部分统汁建模运算是由统计软件SPSS、MIN-ITAB及经济计量软件Eviews完成的。

【Abstract】 The aim of the creation (in 1 985)of the Baltic International Freight Futures Exchange ( BIFFEX ) was to provide a mechanism for hedging freight rate risk in the dry bulk sector of the shipping industry. In particular the extent to which the price of a futures contract reflects unbiased expectations of the spot price on delivery date is of importance to market participants.The first two chapters in this article investigates the unbiasedness hypothesis of futures prices in the freight futures market .Cointegration techniques,employed to examine this hypothesis ,indicates that futures prices one ,two and three months are unbiased forecasts of the realized spot prices,whereas a bias exists in the quarterly futures contracts.AIso,the stability of the cointegration was investigated by a recursively test.Hence it appears that users of the BIFFEX market receive accurate signals from the futures prices and can use the information generated by these prices to guide their phisical market decisions.The third chapter of this article analysed the movement of the BFI,which representes the spot price of the dry bulk shipping industry ,by using the ultimates of Economics.The conclusion is that it is the vessel supplying volume that leads to the fluctuation of the market price.lt s also discovered that there is a prominent monthly-effect in the daily-return series of BFI by non-parameter test,which indicates that in general ,summer has a much lower return level than spring and winter does.In the last chapter of this article a heteroskedasticity model (EARCH) was established in order to fit the daily return series of BFI. This model interprates the heavy-tail of the distrabution of the return perfectly,and makes a satisfactory shortrun forecast of the volatility of BFI also. The result indicates that the heteroskedasticity model fits the historical data much better than the common ARMA model does.Gong Jin ( industriai Economics)Directed by Professor Li Xuying

  • 【分类号】F224;F713.35
  • 【被引频次】22
  • 【下载频次】389
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