文档介绍：上海交通大学
硕士学位论文
干散货远期运费市场功能实证研究
姓名:朱剑
申请学位级别:硕士
专业:交通运输规划与管理
指导教师:乐美龙
20071201
干散货远期运费市场功能实证研究
摘要
运费波动是航运市场风险的集中反映。在过去的两年里,干散货运
价指数从 2000 多点飙升至 10000 多点,这给中国的进出口贸易企业带来
了前所未有的压力。中国的相关企业迫切需要了解和掌握运费风险管理
工具。本文就是在这一背景下进行研究的。
远期运费协议是目前最活跃的运费风险管理工具。本文的主要工作
是运用计量经济学的方法,以两条典型的航线为例,对远期运费市场的
套期保值功能和价格发现功能进行实证研究。结果表明,远期运费价格
和现货价格之间的相关系数很高;远期运费市场的套期保值功能较弱;
远期运费价格和现货价格之间存在协整关系;远期运费价格对现货价格
具有很强的引导作用,远期运费市场的价格发现功能较强;在租航线上,
现货价格对远期运费价格的引导作用较弱;在期租航线上,随着合约到
期日的临近,现货价格对远期运费价格的引导作用减弱。
在实证分析结果的基础上,本文运用远期运费市场的价格发现功能
解释了最近两年来干散货市场运费的非理性上涨情况,指出中国积极参
与和建设远期运费市场的必要性,并且提出了具体的建议。本文的研究
成果为国内企业参与远期运费市场提供了理论支持和决策依据,对航运
相关产业的风险管理具有一定的参考价值。
关键词:远期运费协议,套期保值,协整检验,格兰杰因果检验,价格
发现
EMPIRICAL ANALYSIS ON THE FUNCTIONS OF THE
FREIGHT FORWARD AGREEMENT MARKET IN
INTERNATIONAL DRY BULK SHIPPING
ABSTRACT
The fluctuation of ocean freight is the embodiment of market risk.
During the past two years, the BDI soared from about 2000 to more than
put unprecedented pressure on the import and panies
in China. They need to know and master the risk management tool of ocean
freight.
The forward freight agreement is the most active ocean freight risk
management tool. The main task of the thesis is to study the hedge function
and price-discovery function of freight forward agreement market with
econometric methods. The results show that the correlation coefficient
between the spot price and FFA price is strong. The hedge function of the
FFA market is not obvious. There is a cointegration relation between spot
price and FFA price. The FFA price has a strong induction effect to spot price.
The price-discovery function of the FFA market is obvious.
In voyage charter line, the induction effect from spot price to FFA price
is weak. In time charter line, when closer to the delivery date, the induction
effect from spot price to FFA price es weak.
Based on the result from the empirical analysis, the thesis explains w