碩士 / 國立臺灣海洋大學 / 航運管理學系 / 101 / This study analyzes the interactive relationship between crude oil prices and freight rates, and compares the structural change in a relationship before and after the change. The shipping price index consists of three major freight indexes: Baltic Dry Index (BDI), container rental index (HRCI) tanker Baltic Freight Index (BDTI), mining WTI crude oil prices as samples. This study used time series analysis to explore the relationship between the price of crude oil and three freight indexes. The empirical results show that the variables are non-stationary state, rendered after a first-order differential steady state; through the Chow test sequences have structural changes, the transition point of about before and after the financial crisis of 2008. Through Johansen co-integration test, found that the three freight index and the price of crude oil has a long-term equilibrium relationship, on behalf of the long-term crude oil prices, the freight index to the balanced development of short-term dynamic relationship this article to a VECM. Granger causality and forecast error variance decomposition results found financial tsunami after market model change. Bulk market before the financial crisis in oil prices than the leading BDI index, the BDI index more leading crude oil prices after the financial tsunami; the tanker market before the financial crisis, the price of crude oil is the leading BDTI index, after the financial tsunami the BDTI price with the price of crude oil each other leading backward relations; container market before the financial crisis there is no clear lead lag relationship, but after the financial tsunami HRCI index more leading crude oil prices. This study is expected to provide for the relationship between the freight index as well as the price of crude oil, shipping companies and investors to reduce operational and investment risk.
| Identifer | oai:union.ndltd.org:TW/101NTOU5301009 |
| Date | January 2013 |
| Creators | Wen-Ju Chien, 簡彣如 |
| Contributors | Dr. Heng-Chih Chou, 周恆志 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 68 |
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