| 基于TVP-VAR模型的国际原油价格、运力增长率对干散货运价指数的时变冲击 |
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| 引用本文： | 邵俊岗,郝亚楠.基于TVP-VAR模型的国际原油价格、运力增长率对干散货运价指数的时变冲击[J].上海海事大学学报,2019,40(3):87-92. |
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| 作者姓名： | 邵俊岗 郝亚楠 |
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| 作者单位： | 上海海事大学经济管理学院 |
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| 摘 要： | 为探求不同时期国际原油价格、干散货船运力增长率对波罗的海干散货运价指数(Baltic dry index,BDI)的运态影响,运用时变参数向量自回归(time-varying parameter vector auto-regressive, TVP-VAR)模型进行研究。研究发现,国际原油价格和干散货船运力增长率对BDI的影响呈现时变特征。国际原油价格对BDI的冲击以正向为主;在世界经济不稳定期间,这种冲击更加明显,且随着滞后期数的增加冲击强度逐渐变小。干散货船运力增长率对BDI冲击以负向为主;在航运市场不景气时,这种冲击更大;不同时期,这种冲击随着滞后期数的增加呈现不同的强度变化。发现自2005年以来,国际原油价格比干散货船运力增长率对BDI的影响更大。
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| 关 键 词： | 波罗的海干散货运价指数(BDI) 国际原油价格 干散货船运力增长率 时变特征 |
| 收稿时间： | 2018/8/12 0:00:00 |
| 修稿时间： | 2018/10/7 0:00:00 |
Time-varying impact of international crude oil price and capacity growth rate on dry bulk freight index based on TVP-VAR model |
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| Abstract: | In order to explore the dynamic impact of the international crude oil price and the dry bulk shipping capacity growth rate on the Baltic dry index (BDI) in different periods, the time varying parameter vector auto regressive (TVP VAR) model is used to study the impact. It is found that the impact of the international crude oil price and the dry bulk shipping capacity growth rate on BDI is time varying. The impact of the international crude oil price on BDI is mainly positive; during the unstable period of world economy, the impact is more obvious, and the impact strength gradually decreases with the increase of lag period. The impact of the dry bulk shipping capacity growth rate on BDI is mainly negative; when the shipping market is sluggish, the impact is greater; in different periods, the impact shows different intensity changes with the increase of lag period. It is found that since 2005, the international crude oil price has had a greater impact on BDI than the dry bulk shipping capacity growth rate. |
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| Keywords: | Baltic dry index (BDI) international crude oil price dry bulk shipping capacity growth rate time-varying characteristic |
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