【摘要】：以C3、C5航線FFA交易即期和遠(yuǎn)期的日數(shù)據(jù)為研究對(duì)象,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方法,對(duì)C3、C5航線的即期與遠(yuǎn)期市場(chǎng)及其航線間的相關(guān)關(guān)系進(jìn)行了實(shí)證分析。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),反之則影響較小;C5航線的波動(dòng)能迅速傳給C3航線,反之則較弱。通過(guò)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(lái)源于對(duì)應(yīng)的遠(yuǎn)期市場(chǎng)但遠(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)主要取決于本航線,而C5航線的預(yù)測(cè)波動(dòng)則有一半來(lái)源于C3航線。
[Abstract]:On the basis of vector autoregressive model and impulse response analysis and variance decomposition analysis, this paper takes the spot and forward daily data of FFA transaction on C3C5 route as the research object, and makes use of the methods of impulse response analysis and variance decomposition analysis. The correlation between spot and forward market and routes of C _ 5 is analyzed empirically. The results of pulse response show that the fluctuation of spot market on the same route will cause the fluctuation of forward market, and the fluctuation of C5 route can be transmitted to C3 route quickly, but the contrary will be 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, but the forecast volatility of forward market mainly depends on the forward market itself. The forecast fluctuation of C _ 3 route mainly depends on this route, while that of C _ 5 route is half from C _ 3 route.
【作者單位】： 中國(guó)海洋大學(xué)經(jīng)濟(jì)學(xué)院;
【基金】：國(guó)家自然科學(xué)基金面上項(xiàng)目“向量分位數(shù)協(xié)整及其在組合投資決策中應(yīng)用研究”(71071087);國(guó)家自然科學(xué)基金青年項(xiàng)目“Copula分位數(shù)協(xié)整理論及其在FFA市場(chǎng)的應(yīng)用研究”(71101134)
【分類號(hào)】：F551

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本文編號(hào)：2329495