| 远期运费市场与即期运费市场的关系研究 |
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| 引用本文： | 宫晓婞,吕靖,王尧.远期运费市场与即期运费市场的关系研究[J].大连海事大学学报(自然科学版),2010(1). |
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| 作者姓名： | 宫晓婞 吕靖 王尧 |
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| 作者单位： | 大连海事大学交通运输管理学院; |
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| 摘 要： | 为分析航运市场中远期运费与即期运费的关系,结合多个经济变量,建立向量自回归(VAR)模型,并利用Granger进行模型验证.采用脉冲分析、方差分解分别考察Panamax船的T/C,P2A,P3A三条航线的远期运费协议(FFA)与即期市场的关系.实证分析结果表明:基于VAR的模型是可行的;FFA和经济信息突变对即期市场均具有持续性影响,即期市场对上述变量的反应存在时滞性.
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| 关 键 词： | 远期运费协议（FFA） 即期运费 向量自回归（VAR） 脉冲分析 方差分解 |
Relationship between forward freight and spot freight in shipping market |
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| GONG Xiao-xing,LV Jing,WANG Yao.Relationship between forward freight and spot freight in shipping market[J].Journal of Dalian Maritime University,2010(1). |
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| Authors: | GONG Xiao-xing LV Jing WANG Yao |
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| Institution: | Transportation Management College;Dalian Maritime University;Dalian 116026;China |
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| Abstract: | To analyze the relationship between forward freight agreement(FFA)and spot freight in shipping market,vector autoregressive model(VAR) was built combined with multiple economic variables,and model validation was carried out by Granger test. Impulse analysis and variance decomposition were respectively applied to analyzing three Panamax lines including T/C,P2A and P3A.Empirical results show that the proposed model is feasible.FFA and sudden changes in economic information have continuing impact on spot freig... |
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| Keywords: | forward freight agreement(FFA) spot freight vector autoregressive model(VAR) impulse analysis variance decomposition |
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