干散货航运市场运费率模型.pdf

第1 章 引言 线交点形成的的孤立的运价相比，不仅可以看出运价的变动原因，还 可以看出运价的变动趋势。 干散货航运市场的巨大波动与复杂性也吸引了来自货主、承运人 甚至银行等各路资金，在航运衍生品特别是 FFA 上长袖善舞。随着 FFA 交易量的放大，其对干散货航运运价现货的影响在加深。学者们 证明了 FFA 与运价现货的长期均衡关系，并且发现短期的不均衡是 FFA 向运价现货调整，而且FFA 合约对运价现货的影响存在杠杆效 应。二十一世纪以来在干散货航运市场运费率研究中包含 FFA 也渐 渐成为趋势，论述了这种趋势与主要成果。 关键词：运费率模型，运力供给，运力需求，航运三维曲面，FFA 7 MODELLING OF THE SPOT FREIGHT RATE IN DRY BULK SHIPPING ABSTRACT The models of the spot freight rate are categorized into two columns: firstly under the hypothesis that spot freight rate are coherent which could be educed form historical data; secondly spot freight are determined by several factors, so it is logical to express the spot freight form them. ARIMA Model is chosen as the example of the first column; VECM is chosen as the example of the second column, and the variables are demand expressed by dry seaborne bulk, supply expressed by dry bulker fleet, shipping cost expressed by bunker price, and the commodity price, respectively. During the tests to models multicollinearity is revealed. Since the great influence of subprime mortgage crisis, it is considered into the model by a dummy variable, and the result is improved greatly. Figure is another way to express the spot freight rate except equation. In microeconomics the commodity price is determined by the point of intersection of supply and demand curve. It is the case in shipping economics too, every pair of curves determine one spot freight rate. However the figure is two-dimensional which block off more spot freight rates to be revealed in the figure. So a supply and demand drawing in which world dry bulker fleet de