| 基于Markov机制转换模型的中国拆船市场周期波动 |
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| 引用本文： | 李翀,真虹.基于Markov机制转换模型的中国拆船市场周期波动[J].上海海事大学学报,2014,35(3):65-69. |
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| 作者姓名： | 李翀 真虹 |
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| 作者单位： | 1. 上海海事大学交通运输学院,上海,201306
2. 上海海事大学交通运输学院,上海201306;上海国际航运研究中心,上海200082 |
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| 摘 要： | 为促进中国拆船业的发展,运用Markov机制转换模型研究我国拆船市场的周期波动特征.根据我国拆船市场1996年1月至2013年8月的数据,建立三状态、无滞后、异方差的Markov机制转换模型对拆船市场的周期波动情况进行分析.结果表明,该模型可以很好地描述我国拆船市场的周期波动特征,并且识别出拆船市场周期波动的3种变化机制以及各个机制的平均持续时间.根据模型结果可以得到3种机制下每4个月拆解量平均增长率以及各个机制的平均持续时间,并得到我国拆船市场的周期波动规律.
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| 关 键 词： | Markov机制转换模型 三状态Markov模型 异方差 拆船市场 周期波动 |
| 收稿时间： | 2013/10/14 0:00:00 |
| 修稿时间： | 2014/1/22 0:00:00 |
Periodic fluctuation of ship demolition market in China based on Markov regime switching model |
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| LI Chong
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ZHEN Hong.Periodic fluctuation of ship demolition market in China based on Markov regime switching model[J].Journal of Shanghai Maritime University,2014,35(3):65-69. |
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| Authors: | LI Chong ZHEN Hong |
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| Institution: | Shanghai Maritime University |
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| Abstract: | In order to promote the development of the ship demolition industry in China, the periodic fluctuation characteristics of the ship demolition market in China are studied by Markov regime switching model. A Markov regime switching model with three state, no lag and heteroskedasticity is established based on the data on the market from January 1996 to August 2013 to analyze the periodic fluctuation characteristics of the market. The results show that, the model can well describe the periodic fluctuation characteristics of the market, and can identify three kinds of regimes of the ship demolition market periodic fluctuation and the average duration of each regime. According to the results of the model, the average ship demolition growing rate per 4 month and the average duration of each regime are calculated, and the periodic fluctuation rule of the market is obtained. |
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| Keywords: | Markov regime switching model three state Markov model heteroskedasticity ship demolition market periodic fluctuation |
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