Causality Analysis between Raw Materials and International Dry Bulk Market

• Main Authors: Ming-Te Haung, 黃銘德
• Other Authors: CHING-CHIH CHANG
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/31561868986825218974

碩士 === 國立成功大學 === 交通管理學系碩博士班 === 97 === The demand for the raw materials is increasing constantly under the development in economy of the world in 2002, influence the freight rate with international dry bulk market; make the international freight rate remain high. Due to the crisis of Subprime mortgage, the economy of the marine shipping industry continues recession rapidly from the second half of the 2008. However, shipping industry still faces relatively high risks, coming mainly from the volatile freight rates. As such, knowing the factors attributable to the volatility of freight rates will greatly enhance the profitability of the market participants. This research regards capsize 6 month timecharter rate, panamax 6 month timecharter rate, handysize 6 month timecharter rate, and raw materials as the research variables, the methodology are Vector Auto-regression and Vector Error Correction Model. The finding on this paper could be summarized as: (1) empirical tests of all variables are non-stationary. However, they are all stationary after using first difference. (2) Johansen co-integration and VAR（VECM）test is discovered that the ship price followed capsize 6 month timecharter rate, panamax 6 month timecharter rate, and handysize 6 month timecharter rate with one common stochastic trend. (3)The panamax 6 month timecharter rate and handysize 6 month timecharter rate are Granger Cause by capsize 6 month timecharter rate.