文档介绍：第 1 章引言
线交点形成的的孤立的运价相比,不仅可以看出运价的变动原因,还
可以看出运价的变动趋势。
干散货航运市场的巨大波动与复杂性也吸引了来自货主、承运人
甚至银行等各路资金,在航运衍生品特别是 FFA 上长袖善舞。随着
FFA 交易量的放大,其对干散货航运运价现货的影响在加深。学者们
证明了 FFA 与运价现货的长期均衡关系,并且发现短期的不均衡是
FFA 向运价现货调整,而且 FFA 合约对运价现货的影响存在杠杆效
应。二十一世纪以来在干散货航运市场运费率研究中包含 FFA 也渐
渐成为趋势,论述了这种趋势与主要成果。
关键词:运费率模型,运力供给,运力需求,航运三维曲面,FFA
7
MODELLING OF THE SPOT FREIGHT RATE
IN DRY BULK SHIPPING
ABSTRACT
The models of the spot freight rate are categorized into two columns:
firstly under the hypothesis that spot freight rate are coherent which could
be educed form historical data; secondly spot freight are determined by
several factors, so it is logical to express the spot freight form them.
ARIMA Model is chosen as the example of the first column; VECM is
chosen as the example of the second column, and the variables are
demand expressed by dry seaborne bulk, supply expressed by dry bulker
fleet, shipping cost expressed by bunker price, and modity price,
respectively. During the tests to models multicollinearity is revealed.
Since the great influence of subprime mortgage crisis, it is considered
into the model by a dummy variable, and the result is improved greatly.
Figure is another way to express the spot freight rate except equation.
In microeconomics modity price is determined by the point of
intersection of supply and demand curve. It is the case in shipping
economics too, every pair of curves determine one spot freight rate.
However the figure is two-dimensional which block off more spot freight
rates to be revealed in the figure. So a supply and demand drawing in
which world dry bulker fleet denotes supply, world seaborne dry bulk
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第 1 章引言
trade denotes demand, and average Baltic Dry Bulk Indices (BDI for
short) denotes spot freight is drawn in three-dimensional. And obviously
it is easier to real the relationship between supply and demand in
determining the spot freight than traditional two-dimensional one. The
most im