航运与大宗商品的跨市场影响——来自铁矿石及其航线的证据

隋聪, 赵越, 孙晓倩, 匡海波

系统工程理论与实践 ›› 2022, Vol. 42 ›› Issue (3) : 713-723.

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系统工程理论与实践 ›› 2022, Vol. 42 ›› Issue (3) : 713-723. DOI: 10.12011/SETP2020-3013
论文

航运与大宗商品的跨市场影响——来自铁矿石及其航线的证据

    隋聪1,2, 赵越2, 孙晓倩2, 匡海波1,2
作者信息 +

Cross-market impacts of shipping and bulk commodities——The evidence from iron ore and its routes

    SUI Cong1,2, ZHAO Yue2, SUN Xiaoqian2, KUANG Haibo1,2
Author information +
文章历史 +

摘要

本文首次研究了铁矿石航运市场与其相关大宗商品市场之间的价格和波动溢出效应.对两条铁矿石运输航线和铁矿石、钢材、燃油等大宗商品的格兰杰因果关系检验结果显示,大宗商品市场对航运市场有显著引导作用.以大宗商品市场因素作为外生变量的ARMAX模型结果显示,大宗商品对航运市场有显著预测作用.在风险溢出方面,BEKK-GARCH模型结果显示,航运市场与铁矿石、燃油市场之间存在双向波动溢出特征.同时航运市场与不同大宗商品市场的波动溢出规律存在明显差异.本文对航运与大宗商品的价格和风险形成机制提出了一个跨市场的新见解.

Abstract

This paper initially studies the spillover effects between the iron ore shipping market and its related commodity markets.The Granger Causality Test results of the two iron ore transportation routes and iron ore,steel,and fuel show that the commodity markets have a significant guiding effect on the shipping market.The ARMAX model results,which take the commodity markets as exogenous variables,show that the commodities have the essential prediction effect on the shipping market.In terms of volatility spillover,the BEKK-GARCH model results show two-way volatility spillover characteristics between the shipping market and the iron ore,fuel oil markets.Simultaneously,there are apparent differences in the volatility spillover law between the shipping and the different commodity markets.This paper presents an innovative cross-market insight into the price and risk formation mechanism of shipping and commodities.

关键词

航运市场 / 大宗商品市场 / 铁矿石 / 溢出效应

Key words

shipping market / commodity markets / iron ore / spillover effect

引用本文

导出引用
隋聪 , 赵越 , 孙晓倩 , 匡海波. 航运与大宗商品的跨市场影响——来自铁矿石及其航线的证据. 系统工程理论与实践, 2022, 42(3): 713-723 https://doi.org/10.12011/SETP2020-3013
SUI Cong , ZHAO Yue , SUN Xiaoqian , KUANG Haibo. Cross-market impacts of shipping and bulk commodities——The evidence from iron ore and its routes. Systems Engineering - Theory & Practice, 2022, 42(3): 713-723 https://doi.org/10.12011/SETP2020-3013
中图分类号: F55   

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基金

国家自然科学基金(71971034,71571034,71731003);辽宁省自然科学基金联合基金(2020-HYLH-15)
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