| Abstrakt: |
The Baltic Dry Index (BDI) is the most critical indicator taking the pulse of maritime trade. Hence, it is essential to determine the macroeconomic variables that affect the BDI, which is a solid indicator for global economic activities in maritime transport. This research paper aims to investigate the association between macroeconomic indicators and the BDI. For this purpose, the Toda-Yamamoto approach was performed to examine the causal association between macroeconomic variables and the BDI. The Lee-Strazicich (LS) unit root test was applied based on Model C (break) to determine the stationary of the time series. The research's findings shed significant light on the causal relationship between the BDI and macroeconomic variables. According to the Toda-Yamamoto causality test results: BDI has a two-way relationship with S&P 500 and MSCI World indexes; besides, there is a one-way causality from €/$ parity and VIX (Cboe) to the BDI. Furthermore, the causality was determined from BDI to BCOM, US10Y, and BRENT variables. The research findings can help BDI Futures contract investors, maritime trade authorities, and policymakers to understand the general nature of BDI. Thus, monitoring the price movements of macroeconomic variables, which have causality with BDI, can minimize economic risks in global trade. [ABSTRACT FROM AUTHOR] |
