The Baltic Dry Index: cyclicalities, forecasting and hedging strategies
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- 作者：Fotis Papailias ; Dimitrios D. Thomakos ; Jiadong Liu
- 关键词：Baltic Dry Index ; Commodities ; Concordance ; Cyclical analysis ; Forecasting ; Freights ; Hedging ; Trade ; Turning points
- 刊名：Empirical Economics
- 出版年：2017
- 出版时间：February 2017
- 年：2017
- 卷：52
- 期：1
- 页码：255-282
- 全文大小：597KB
- 刊物主题：Econometrics; Statistics for Business/Economics/Mathematical Finance/Insurance; Economic Theory/Quantitative Economics/Mathematical Methods;
- 出版者：Springer Berlin Heidelberg
- ISSN：1435-8921
- 卷排序：52
文摘
The cyclical properties of the Baltic Dry Index (BDI) and their implications for forecasting performance are investigated. We find that changes in the BDI can lead to permanent shocks to trade of major exporting economies. In our forecasting exercise, we show that commodities and trigonometric regression can lead to improved predictions and then use our forecasting results to perform an investment exercise and to show how they can be used for improved risk management in the freight sector.