本文選題：VAR模型　切入點(diǎn)：非對(duì)稱BEKK模型　出處：《中國(guó)海洋大學(xué)》2014年碩士論文

【摘要】：隨著我國(guó)社會(huì)建設(shè)步伐的加快，我國(guó)所需要的鐵礦石等大宗貨物的進(jìn)口量逐年增加，使得我國(guó)鐵礦石的航運(yùn)量加大，與之相伴的就是在整個(gè)航運(yùn)過程中所要面臨的風(fēng)險(xiǎn)在逐漸擴(kuò)大。如何運(yùn)用金融衍生品自身的特點(diǎn)進(jìn)行風(fēng)險(xiǎn)的規(guī)避一直是船東和貨主亟待解決的問題，尤其是干散貨這種運(yùn)價(jià)變化多樣的商品更需要進(jìn)行深入的研究，在這種情況下，遠(yuǎn)期運(yùn)費(fèi)協(xié)議FFA應(yīng)運(yùn)而生。在進(jìn)行即期市場(chǎng)操作時(shí)，船東和貨主可以使用FFA做一個(gè)反向的對(duì)沖交易，以規(guī)避運(yùn)價(jià)波動(dòng)帶來的風(fēng)險(xiǎn)。本文以C3、C5即遠(yuǎn)期航線的收益率數(shù)據(jù)為研究對(duì)象，采用向量自回歸模型和非對(duì)稱BEKK模型對(duì)FFA的信息傳遞效率和價(jià)格預(yù)測(cè)方式進(jìn)行研究。其中C3、C5航線屬于波羅的海海岬型船型BCI，C3航線運(yùn)輸路徑是從圖巴朗港到北侖或?qū)毶�，運(yùn)載量是16萬公噸，C5航線運(yùn)輸路徑是從澳西到北侖或?qū)毶�，運(yùn)載量是15萬公噸，兩條航線主要運(yùn)輸鐵礦石，報(bào)價(jià)形式都采用美元/噸。 本文主要從以下兩個(gè)方面進(jìn)行論述：首先，，以向量自回歸模型為基礎(chǔ)，利用脈沖響應(yīng)分析和方差分解分析，對(duì)C3、C5航線的即期與遠(yuǎn)期市場(chǎng)及其航線間的聯(lián)動(dòng)關(guān)系進(jìn)行研究。脈沖響應(yīng)結(jié)果顯示：同一航線即期市場(chǎng)的波動(dòng)會(huì)引起遠(yuǎn)期市場(chǎng)的波動(dòng)，反之則影響較��；C5航線的波動(dòng)能迅速傳給C3航線，反之則較弱。通過方差分解分析可以發(fā)現(xiàn)，即期市場(chǎng)的預(yù)測(cè)波動(dòng)大約有50%來源于對(duì)應(yīng)的遠(yuǎn)期市場(chǎng)，而遠(yuǎn)期市場(chǎng)的預(yù)測(cè)波動(dòng)主要取決于遠(yuǎn)期市場(chǎng)本身；C3航線的預(yù)測(cè)波動(dòng)主要源于本航線而C5航線的預(yù)測(cè)波動(dòng)則有一半來源于C3航線。 其次，建立非對(duì)稱BEKK模型，運(yùn)用ARCH檢驗(yàn)和Wald檢驗(yàn)對(duì)C3、C5航線的波動(dòng)溢出結(jié)果進(jìn)行分析。ARCH檢驗(yàn)得出C3、C5航線的即遠(yuǎn)期收益率存在著ARCH效應(yīng)；BEKK的估計(jì)結(jié)果得出C3、C5航線間的波動(dòng)溢出效應(yīng)確實(shí)會(huì)受到經(jīng)濟(jì)環(huán)境變化的影響，金融危機(jī)前期，C3航線即期市場(chǎng)信息流通速率明顯弱于其余其他市場(chǎng)，C5航線間的波動(dòng)溢出效應(yīng)更加明顯，金融危機(jī)中期，由于C5航線的信息量比C3航線充足，因此信息傳播并未受到影響，金融危機(jī)后期，航線間的交叉作用逐漸取代自身滯后項(xiàng)影響，航線間信息流通速率加快。Wald檢驗(yàn)得出，在金融危機(jī)前期C3即期與C5遠(yuǎn)期之間不存在波動(dòng)溢出效應(yīng)；在金融危機(jī)中期C3航線的即遠(yuǎn)期之間不存在波動(dòng)溢出效應(yīng)，C3與C5航線的遠(yuǎn)期之間不存在波動(dòng)溢出效應(yīng)；金融危機(jī)后期C3、C5航線之間均存在波動(dòng)溢出效應(yīng)。 綜上分析，在對(duì)FFA的信息傳遞速率進(jìn)行研究的時(shí)候，首先考慮航線自身的歷史信息以及相似航線即遠(yuǎn)期波動(dòng)的影響，同時(shí)分析數(shù)據(jù)所處的經(jīng)濟(jì)時(shí)期；對(duì)FFA的價(jià)格預(yù)測(cè)方式進(jìn)行研究的時(shí)候，要統(tǒng)計(jì)所有類似航線的數(shù)據(jù)信息加以研究。
[Abstract]:With the acceleration of the pace of social construction in China, the import of iron ore and other bulk goods needed by our country has increased year by year, which has led to an increase in the volume of shipping iron ore in China. At the same time, the risks to be faced in the whole shipping process are gradually expanding. How to use the characteristics of financial derivatives to avoid risks has always been an urgent problem for shipowners and shippers. In particular, dry bulk goods, which have varied freight rates, need to be studied deeply. In this case, the forward freight agreement (FFA) emerges as the times require. Shipowners and consignors can use FFA to make a reverse hedging transaction to avoid the risk caused by the fluctuation of freight rates. Vector autoregressive model and asymmetric BEKK model are used to study the information transmission efficiency and price prediction mode of FFA. Among them, route C3C5 belongs to the Baltic promontory type BCIC3 route, which is from Port Tubaron to Beilun or Baoshan. The transportation route is from Australia to Beilun or Baoshan with a capacity of 150000 metric tons. Iron ore is mainly transported on both routes in the form of US dollars / ton. This paper mainly discusses the following two aspects: firstly, based on the vector autoregressive model, impulse response analysis and variance decomposition analysis are used. The relationship between spot market and forward market of C3C5 route and the linkage between them are studied. The results of pulse response show that the fluctuation of spot market on the same route will cause volatility of forward market. On the contrary, the fluctuation of C5 route with smaller influence can be quickly transmitted to the C _ 3 route, otherwise it is weaker. Through variance decomposition analysis, it can be found that about 50% of the forecast volatility of spot market comes from the corresponding forward market. The forecast fluctuation of forward market mainly depends on the forecast fluctuation of the C _ 3 route of the forward market itself, and half of the forecast fluctuation of C _ 5 route comes from the C _ 3 route. Secondly, an asymmetric BEKK model is established. By using ARCH test and Wald test to analyze the volatility spillover result of C3C5 route. Arch test shows that there is ARCH effect on the forward return rate of C3C5 route. The result shows that the volatility spillover effect between C3C5 routes will really be affected. The impact of environmental change, In the early stage of the financial crisis, the current information flow rate of C _ 3 route was obviously weaker than that of the other markets. In the middle of the financial crisis, the amount of information on the C _ 5 route was more abundant than that on the C _ 3 route. Therefore, the information dissemination has not been affected. In the later period of the financial crisis, the cross-action between routes gradually replaced the influence of their own lag term, and the speed of information flow between routes was accelerated. Wald test shows that, There is no volatility spillover effect between C _ 3 spot and C _ 5 forward in the early stage of financial crisis, and there is no volatility spillover effect between C _ 3 and C _ 5 routes in the middle of financial crisis, and there is no volatility spillover effect between C _ 3 and C _ 5 route in the middle of financial crisis. In the latter stage of the financial crisis, there are volatility spillover effects between C _ 3 C _ 5 and C _ 3 C _ 5 routes. On the basis of the above analysis, when we study the information transfer rate of FFA, we first consider the historical information of the route itself and the influence of the similar routes, that is, the long-term fluctuations, and analyze the economic period in which the data are located. When we study the price forecasting method of FFA, we should count all the data information of similar routes.
【學(xué)位授予單位】：中國(guó)海洋大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F552;F224;F426.1

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