本文選題：VAR模型 + VEC模型��； 參考：《大連海事大學(xué)》2014年碩士論文

【摘要】：原油運(yùn)輸行業(yè)是一個(gè)價(jià)格風(fēng)險(xiǎn)極高的行業(yè),瞬息萬(wàn)變的運(yùn)價(jià)給航運(yùn)市場(chǎng)參與者帶來(lái)了巨大的經(jīng)營(yíng)風(fēng)險(xiǎn)。對(duì)于航運(yùn)企業(yè)來(lái)說(shuō),減少經(jīng)營(yíng)風(fēng)險(xiǎn)的最好途徑就是最大程度的穩(wěn)定運(yùn)營(yíng)成本。因此,如何將油船期租費(fèi)用鎖定在一定范圍內(nèi),或者說(shuō)預(yù)測(cè)油船期租價(jià)格的波動(dòng)對(duì)航運(yùn)企業(yè)來(lái)說(shuō)有重要意義。 本文研究的主要問(wèn)題就是不同期限結(jié)構(gòu)的運(yùn)費(fèi)價(jià)格與BDTI之間的相互作用關(guān)系。具體的研究對(duì)象是三類不同載重噸以及分別對(duì)應(yīng)的三種不同期限結(jié)構(gòu)的油船運(yùn)費(fèi)價(jià)格。研究方法采用定量與定性相結(jié)合的方式,在定量研究中,針對(duì)向量自回歸VAR模型進(jìn)行脈沖響應(yīng)分析與方差分解分析；針對(duì)VEC模型探索變量間是否具有長(zhǎng)期協(xié)整關(guān)系以及短期影響程度如何。采用這樣關(guān)于時(shí)間序列研究的計(jì)量經(jīng)濟(jì)學(xué)模型是一種縱向的分析,不同載重噸的油船數(shù)據(jù)之間的對(duì)比,是一種橫向分析。研究結(jié)果表明,第一,各船型不同期限結(jié)構(gòu)的運(yùn)費(fèi)以及BDTI均為非正太分布,即各船型不同期限結(jié)構(gòu)的運(yùn)費(fèi)以及BDTI的波動(dòng)性較強(qiáng),規(guī)律性不明顯。但是,油船運(yùn)費(fèi)價(jià)格走勢(shì)與BDTI走勢(shì)基本相同。第二,就受到?jīng)_擊后的反應(yīng)來(lái)看,BDTI更為強(qiáng)烈,運(yùn)費(fèi)價(jià)格的響應(yīng)水平不及BDTI。第三,就不同期限結(jié)構(gòu)的運(yùn)費(fèi)價(jià)格和BDTI之間的相互影響來(lái)看,不同期限結(jié)構(gòu)的運(yùn)費(fèi)價(jià)格主要是受自身的影響,其次是受BDTI的影響。第四,一年期、三年期、五年期運(yùn)費(fèi)價(jià)格與BDTI之間存在長(zhǎng)期的均衡關(guān)系,短期也存在相互影響,但是,比較而言,長(zhǎng)期影響明顯強(qiáng)于短期影響。 綜合上述研究結(jié)論,油船經(jīng)營(yíng)者或其他利益相關(guān)者可以從整體上把握油船運(yùn)輸市場(chǎng)期租價(jià)格的動(dòng)向,適當(dāng)規(guī)避風(fēng)險(xiǎn)。但是,本文的研究也存在一定的局限性,因?yàn)閷?shí)際的油船運(yùn)輸市場(chǎng)中必然存在許多可分散風(fēng)險(xiǎn)和不可分散風(fēng)險(xiǎn),這些是本文采用的模型所無(wú)法控制的變量。
[Abstract]:Crude oil transportation industry is an industry with high price risk. The rapidly changing freight rate brings huge operating risk to the participants of shipping market. For shipping enterprises, the best way to reduce operating risks is to stabilize operating costs to the greatest extent. Therefore, it is of great significance for shipping enterprises to lock the oil charter fee within a certain range, or to predict the fluctuation of oil vessel charter price. The main problem studied in this paper is the interaction between freight price and BDTI with different term structure. The specific object of study is three types of different deadweight tons and corresponding three different term structure of tanker freight price. In the quantitative study, pulse response analysis and variance decomposition analysis were carried out for the vector autoregressive VAR model. This paper explores whether there is a long-term cointegration relationship between variables in VEC model and the degree of short-term influence. Using this econometric model for time series research is a longitudinal analysis, and the comparison between tanker data of different load tons is a horizontal analysis. The results show that, first, the freight rates and BDTI of different term structures of different ship types are non-orthodox, that is, the freight rates of different term structures of each ship type and the volatility of BDTI are strong, but the regularity is not obvious. However, oil tanker freight price trend and BDTI trend is basically the same. Second, as far as the response after shock is concerned, BDTI is stronger, and the response level of freight price is not as good as that of BDTI. Thirdly, from the point of view of the interaction between the freight price of different term structure and BDTI, the freight price of different term structure is mainly influenced by itself, followed by the influence of BDTI. Fourth, there is a long-term equilibrium relationship between freight price and BDTI for one year, three years and five years, and there is also a mutual influence in the short term. However, the long-term effect is obviously stronger than the short-term impact. Synthesizing the above research conclusion, the tanker operator or other stakeholders can grasp the trend of the oil tanker transportation market term rental price and avoid the risk appropriately. However, the study of this paper also has some limitations, because there must be a lot of dispersed and non-dispersible risks in the actual tanker transportation market, which are the variables beyond the control of the model adopted in this paper.
【學(xué)位授予單位】：大連海事大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F551;F416.22

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