An Empirical Study on Volatility Interaction between Ship Price and Hire Rate in International Dry Bulk Market
| Autor: | Chih-Min Wang, 王志敏 |
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| Rok vydání: | 2006 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 94 Recent infrastructure construction development in China has boosted strong demand on the volume of the sea trade and transportation, especially for the industrial raw materials delivered by bulk carrier market. After reviewing a number of forecasted modal concerning with variance between ship price and hire rate insisted by some scholars, and to used a new analysis model for bulk carrier market based on recent maritime economy data. The purpose of this paper is to provide the shipowner or the charterers to foresee the market dynamics by using appropriate analysis techniques and plan a suitable ship management strategy at the right time. The analysis methodology of this paper adopted Vector Auto-regression, Impulse response analysis and Variance decomposition approaches to test if any seasonal effect was exited in spot hire rate for the three standard type of dry bulk carrier, and exam if any interaction change was occurred in spot hire rate among them. Our finding can be summarized as: (1) The spot hire rate for capsize always played an leading role compared with other two types of bulk carrier vessel, and also its effect formed a specific direction of explaining price discovery for other two sizes of carrier；(2) The panamax and handymax spot hire rate can be highly explained by their owned past variance for short period, however the strength of effect disappeared very soon, and their variance of long period were also impacted by capsize spot hire rate；(3) No any relationship was exited between new build ship price and hire rate for capsize type ship；(4) The five years second-hand ship price impulse was responded by hire rate at short run, and impulse responded by new-build ship price at long run. In other words, it can be highly explained by the hire rate past variance in short term but the strength of effect disappeared rapidly, and their variance in long term were also impacted by new-build ship price. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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