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題名 | 國際散裝乾貨船市場即期與遠期租金動態關連性之探討--門檻GARCHd模型之應用=The Dynamic Relationship between Spot and Forward Hire in Dry Bulk Shipping Market--Application in Threshold GARCH Model |
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作者姓名(中文) | 陳永順; 王旭堂; | 書刊名 | 國立臺灣海洋大學海運學報 |
卷期 | 13 2004.10[民93.10] |
頁次 | 頁187-201 |
分類號 | 557.4 |
關鍵詞 | 即期租金; 遠期租金; 門檻一般自我迴歸異質變異; 誤差修正項; Spot hire; Forward hire; Threshold GARCH model; Error correction term; |
語文 | 中文(Chinese) |
中文摘要 | 本研究利用門檻一般化自我迴歸異質變GARCH為實證模型,分析國際散裝乾貨船市場即期與遠期租金之動態關連性,以提供散裝航運業者一個最佳的預測遠期租金水準之準則,以提高遠期投資決策準確度,以降低市場營運風險,並能提高獲利機會。在樣本期間內,以倫敦Clarkson Research Limited研究機構所出版”Shipping Intelligence Weekly”,選定三標準船型;海岬型船(Capesize)、巴拿馬極限型船(Panamax)及大型輕便型船(Handymax),每週發佈三型船即期與遠期一年期租金行情,個船型分別在不同期同租期下其租金水準隨時間變動作上下漲跌的趨勢,若以經濟學供需理論的角度來看,市場租金表疲軟或強走勢實應與船噸供給需平衝變動所致,本文利用門檻一般化自我迴歸異質變(GARCH)模型進行討論,發現不管是當期或是預期的心理因素,租金下跌所帶來的影響力皆遠高於租金上漲的影響力;又因即期租金無論上張或下跌均表現出較強之領先地位,顯示投資人的預期心理深受當期租金所影響,然而預期心理會隨著當時之市場狀加以修正。全球鋼鐵市場動向、鐵礦,煤礦暨穀物需情況,以及船廠預估新船交船加入營運等直接、間接對租金漲跌產生影響,進而修正投資人對未來的預期。 |
英文摘要 | This paper analyzes the dynamic relationship between spot and forward hire in the international dry bulk carrier market, using threshold GARCH model. To provide shipping investors with one optimal criterion on forecasts, achieving reduction of operating risk and increase of opportunity of profit. It is based on spot and forward hire of one year up and down trend for Capesize、Panamax and Handymax vessels in the sample period, which were found and published in “Shipping Intelligence Weekly” by Clarson Research Limited London, as the viewpoint of supply and demand theory in economics, the change of supply and demand balance virtually influenced fluctuation up and down in market hire, despite the contemporary or expected factor of psychology, we find that the downward effects are stronger than upward effects among these vessels. Another result shows that spot rate leads to forward rate. It indicated that the expectations of investors would be influenced by the spot rate deeply, and these expectations would be revised by market situation at that time. Many factors will influence directly indirectly the market rate including global steel market in the direction、supply and demand balance of raw materials for iron ore、coal and grain cargo, in addition to volume of new tonnages on delivery from shipyard expected. Then, these factors will correct the expectation of investors in the future. |
本系統之摘要資訊系依該期刊論文摘要之資訊為主。