Predicting the shipping market by spreads of timecharter rates

• Autorzy: Yip T. L.

Identyfikatory

DOI

10.17402/260

• Języki publikacji: EN

Abstrakty

EN

This paper has explored the predictability of spreads between long-term and short-term timecharter rates on spot freight rates. The spread between long-term and short-term rates (or the slope of the yield curve) is often used as a leading economic indicator of economic activities. This concept has been extended to the shipping market in this paper and the probability that the spot freight rate will increase or decrease has been determined. Using the spread between the timecharter rates on long-term and short-term charter contracts, the direction of spot freight rates has been predicted with the dynamic probit model, which is used to estimate the probability of discrete events. Evidence has been drawn from Panamax dry bulk ships for future weekly, quarterly and biyearly changes of spot freight rates. While the dynamic probit model has shown moderate predictive power, the weekly model has shown that the market has a relatively longer memory than the quarterly and biyearly models.

Słowa kluczowe

EN

timecharter rates; shipping market; Panamax dry bulk ships; economic indicator; maritime transport

• Wydawca: Wydawnictwo Naukowe Akademii Morskiej w Szczecinie
• Czasopismo: Zeszyty Naukowe Akademii Morskiej w Szczecinie
• Rocznik: 2018
• Tom: nr 53 (125)
• Strony: 9--16
• Opis fizyczny: Bibliogr. 8 poz., rys., tab.

Twórcy

autor

Yip T. L.

• The Hong Kong Polytechnic University, Faculty of Business Department of Logistics and Maritime Studies Hung Hom, Kowloon, Hong Kong

Bibliografia

• 1. Adland, R. & Cullinane, K. (2005) A time-varying risk premium in the term structure of bulk shipping freight rates. Journal of Transport Economics and Policy 39(2), pp. 191– 208.
• 2. Chauvet, M. & Potter, S. (2002) Predicting a recession: Evidence from the yield curve in the presence of structural breaks. Economics Letter 77, pp. 245–253.
• 3. Estrella, A. & Mishkin, F.S. (1996) The yield curve as a predictor of U.S. recessions. Current Issues in Economics and Finance 2(7), pp. 1–6.
• 4. Estrella, A. & Trubin, M.R. (2006) The yield curve as a leading indicator: Some practical issues. Current Issues in Economics and Finance 12(5), pp. 1–6.
• 5. Evans, J.J. & Marlow, P.B. (1990) Quantitative Methods in Maritime Economics. Surrey, UK: Fairplay.
• 6. Mishkin, F.S. (1990) The information in the longer-maturity term structure about future inflation. Quarterly Journal of Economics 55, pp. 815–828.
• 7. Shipping Intelligence Network (2017) Clarkson Research Services Limited.
• 8. Veenstra, A.W. (1999) The term structure of ocean freight rates. Maritime Policy & Management 26 (3), pp. 279–293.

Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2018).