基于VECM的国际干散货船投资
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摘要
基于经济理论和以往的研究构建一个投资决策系数(Ratio)即二手船价格指数与新造船价格指数之比,分析影响其变动的主要因素,旨在帮助船舶所有人和船舶经营公司在新造船和二手船之间做出合理的投资决策。选用1996年1月—2017年7月国际干散货船的价格指数和波罗的海干散货指数(Baltic Dry Index,BDI)数据进行协整分析,并构建向量误差修正模型(Vector Error Correction Model,VECM)研究影响Ratio的主要因素。研究结果表明:Ratio能够更直观地帮助投资者做出投资决策,短期内受自身上期波动影响较大,误差修正项以10%的力度调整Ratio恢复到长期均衡态势。燃油价格的变动、二手船销售量和新订单量与Ratio的变动成正相关,海运贸易量与Ratio的变动成负相关。
An investment decision-making criterion, the price ratio of second-hand ships to new-buildings, is developed based on economic theory and previous researches. The main factors influencing the change of the Ratio are analyzed, so as to help ship owners and shipping companies make their decisions in investing new or second-hand vessels. A co-integrative analysis is carried out with BDI(Baltic Dry Index) data and data of the international dry bulk shipping market from January, 1996 to July, 2017. The main factors affecting Ratio are tested in VECM(Vector Error Correction Model) model. The empirical estimates suggest that Ratio be a reliable index helping investors in decision making. It is greatly affected by the change in previous period in a short-term. In the long-term, the error correction item can adjust the Ratio return to its equilibrium with 10 % of the ECM. The results also indicate that changes in bunker prices, second-hand ship sales, and new orders are positively correlated with the change of Ratio, and the seaborne trade is negatively correlated with it.
An investment decision-making criterion, the price ratio of second-hand ships to new-buildings, is developed based on economic theory and previous researches. The main factors influencing the change of the Ratio are analyzed, so as to help ship owners and shipping companies make their decisions in investing new or second-hand vessels. A co-integrative analysis is carried out with BDI(Baltic Dry Index) data and data of the international dry bulk shipping market from January, 1996 to July, 2017. The main factors affecting Ratio are tested in VECM(Vector Error Correction Model) model. The empirical estimates suggest that Ratio be a reliable index helping investors in decision making. It is greatly affected by the change in previous period in a short-term. In the long-term, the error correction item can adjust the Ratio return to its equilibrium with 10 % of the ECM. The results also indicate that changes in bunker prices, second-hand ship sales, and new orders are positively correlated with the change of Ratio, and the seaborne trade is negatively correlated with it.
引文
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[13] ENGLE R F,GRNAGER C W J.Co-integration and Error Correction:Representation,Estimation,and Testing[J].Econometrica,1987:251-276.
[14] 高铁梅.计量经济分析方法与建模:EViews应用及实例[M].3版.北京:清华大学出版社,2016:358-359.
[2] ALIZADEH A H,NOMIKOS N K.Investment Timing and Trading Strategies in the Sale and Purchase Market for Ships[J].Transportation Research Part B:Methodological,2007,41(1):126-143.
[3] SYRIOPOULOS T,ROUMPIS E.Price and Volume Dynamics in Second-Hand Dry Bulk and Tanker Shipping Markets[J].Maritime Policy & Management,2006,33(5):497-518.
[4] MERIKAS A G,MERIKA A A,KOUTROUBOUSIS G.Modelling the Investment Decision of the Entrepreneur in the Tanker Sector:Choosing Between a Second-Hand Vessel and a Newly Built One[J].Maritime Policy & Management,2008,35(5):433-447.
[5] DAI L,HU H,ZHANG D.An Empirical Analysis of Freight Rate and Vessel Price Volatility Transmission in Global Dry Bulk Shipping Market[J].Journal of Traffic and Transportation Engineering (English Edition),2015,2(5):353-361.
[6] LUN Y H,QUADDUS M A.An Empirical Model of the Bulk Shipping Market[J].International Journal of Shipping and Transport Logistics,2008,1(1):37-54.
[7] HARALAMBIDES H E,TSOLAKIS S D,CRIDLAND C,et al.Econometric Modelling of Newbuilding and Secondhand Ship Prices[J].Research in Transportation Economics,2004,12(1):65-105.
[8] HAWDON D.Tanker Freight Rates in the Short and Long Run[J].Applied Economics,1978,10(3):203-218.
[9] ADLAND R,JIA H,STRANDENES S.Asset Bubbles in Shipping?An Analysis of Recent History in the Drybulk Market[J].Maritime Economics & Logistics,2006,8(3):223-233.
[10] TSOLAKIS S D,CRIDLAND C,HARALAMBIDES H E.Econometric Modelling of Second-Hand Ship Prices[J].Maritime Economics & Logistics,2003,5(4):347-377.
[11] GLEN D R.The Market for Second-Hand Ships:Further Results on Efficiency Using Cointegration Analysis[J].Maritime Policy and Management,1997,24(3):245-260.
[12] ALIZADEH A H,NOMIKOS N K.The Price-Volume Relationship in the Sale and Purchase Market for Dry Bulk Vessels[J].Maritime Policy & Management,2003,30(4):321-337.
[13] ENGLE R F,GRNAGER C W J.Co-integration and Error Correction:Representation,Estimation,and Testing[J].Econometrica,1987:251-276.
[14] 高铁梅.计量经济分析方法与建模:EViews应用及实例[M].3版.北京:清华大学出版社,2016:358-359.