| 金融危机前后C5航线远期运费波动溢出效应比较 |
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| 引用本文： | 朱意秋,郑文璪.金融危机前后C5航线远期运费波动溢出效应比较[J].上海海事大学学报,2012,33(1):67-72. |
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| 作者姓名： | 朱意秋 郑文璪 |
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| 作者单位： | 1. 中国海洋大学经济学院,山东青岛,266100
2. 北京大学经济学院,北京,100871 |
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| 基金项目： | 国家社会科学基金（０９ＢＪＹ０７４） |
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| 摘 要： | 基于远期运费协议(Forward Freight Agreement,FFA)市场与干散货运输实体市场间的波动溢出关系对正确评价FFA市场的效率及企业是否参与该市场的决策具有重要意义.用AR,VAR和VEC所提取的均值方程残差作为溢出因子代入GARCH和EGARCH波动方程中,以考察C5航线在金融危机前后波动溢出效应的变化.主要的实证结论:该航线的远期和即期存在双向波动溢出;远期对即期的波动溢出在金融危机后获得加强;远期的当期残差在各阶段的溢出强度远远高于滞后一期的残差,说明当天的远期信息深度影响着当天的即期实体市场。
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| 关 键 词： | 波动溢出效应 远期运费协议 GARCH 双变量EGARCH |
| 收稿时间： | 3/15/2011 4:43:08 PM |
| 修稿时间： | 2011/11/16 0:00:00 |
Comparison in volatility spillover effects of forward freight of Line C5 around financial storm |
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| ZHU Yiqiu
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ZHENG Wenzao.Comparison in volatility spillover effects of forward freight of Line C5 around financial storm[J].Journal of Shanghai Maritime University,2012,33(1):67-72. |
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| Authors: | ZHU Yiqiu ZHENG Wenzao |
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| Institution: | Ocean University of China School of Economics and 1 |
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| Abstract: | In view of the importance of volatility spillover between markets of Forward Freight Agreement(FFA) and physical dry bulk transport in the proper evaluation of the efficiency of FFA market and making decision for enterprises whether they should participate in this market,residuals of mean equations extracted from AR,VAR and VEC,respectively,are substituted into volatility model GARCH and EGARCHB as spillover factors,so as to observe the changes of volatility spillover effects of Line C5 around financial storm.The main findings are as follows: there are two-way spillover effects between forward and spot market;spillover efficiency from forward to spot is improved after the storm;today’s residual of forward has much stronger spillover effect than yesterday’s residual of forward,which implies that information from forward market influences today’s physical spot market deeply. |
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| Keywords: | volatility spillover effect forward freight agreement GARCH bivariable-EGARCH |
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