An Analysis of the Relationships between Baltic Dry Index and Steel Price Index—An Application of the Vector AR Model / 波羅的海運價综合指數與鋼價指數相關性之分析-以VAR模型之應用

碩士 / 長榮大學 / 航運管理學系碩士班 / 96 / It is close to perfect competitive market for bulk shipping market and freight rate and charter hire are uncertainty of shipping market so that shipowners and charterers encounter extreme high investment risk. The Baltic Dry Index is the bulk shipping and the correlation industry grasp the main index. The shipowners and charterers can forecast and analyze Baltic Dry Index in order to effectively reduce shipping market risks and increase shipping profitability. The freight rate of dry-bulk shipping is determined by vessel supply and vessel demand. Recent infrastructure construction development in China has boosted strong demand on the volume of the seaborne trade and transportation damand, especially for the industrial raw materials delivered by bulk carrier market. This article explores the relationships between Baltic Dry Index and steel price index, to construct Baltic Dry Index forecast model for bulk shipping service, and discuss its accuracy. The relationships between the variables by using Autoregressive Integrated Moving Average Model and Vector Autoregressive Model. The data employed in this research covers from Jnne 2000 and May 2008 on the weekly basis. The result of this study shows Baltic Dry Index and steel price index exhibiting significant influence, and steel price index is the leading index to Baltic Dry Index. It shows that the price of steel rise will driving the freight rate of dry-bulk shipping. That is accord with the demand of economic development derive the demand of transportation. The RMSPE of the in-sample price forecasts of the best fit model ARIMA(3,0,1) and VAR(6) is 4.7294% and 3.9127%, respectively. The VAR model performed best in forecasting.The results of this paper can provide shipowners and charterers as references for chartering decision-making on shipping investment.

Identiferoai:union.ndltd.org:TW/096CJU00301009
Date January 2008
CreatorsShin-Chan Lin, 林仕展
ContributorsMing-Tao Chou, 周明道
Source SetsNational Digital Library of Theses and Dissertations in Taiwan
Languagezh-TW
Detected LanguageEnglish
Type學位論文 ; thesis
Format103

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