干散货造船市场与货运市场的动态关系研究
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摘要
美国次贷危机和欧洲债务危机以来,全球航运业虽然经历了短暂的反弹,但好景不长,随后再次跌入谷底,其中干散货航运业变化尤为明显。目前全行业面临有效需求不足,运力供给过剩,成本压力过大,运价长期低迷的困境。其中运力过剩是目前面临最为突出的问题。本文从干散货造船市场与货运市场之间存在的时间滞后出发,探寻运力过剩背后的经济学动因。
在大多数航运业有关的经济学研究中都只是依据有效市场假说,把造船市场当做与其相关的变量进行讨论。本文创新性地从造船业的视角出发,运用时间序列和面板数据分析方法,研究干散货造船市场与货运市场之间的动态关系。
为了有效分析干散货造船市场与货运市场之间的动态关系,本文从运费、造船订单、船舶交付之间的相互影响入手进行了一系列研究。首先探讨了运费和造船价格之间的方向因果关系。通过单位根检验、协整检验和脉冲响应分析,研究发现了从运费到造船价格的正向-单向因果关系,从运费到造船价格的滞后时间大约是三到六个月,存在时间滞后说明两个市场的信息流动并不像有效市场假说(EMH)所预期的那样有效。
其次,本文研究了干散货造船市场投资活动的决定因素。运用混合面板数据方法研究后证实,货运市场运费对于船舶投资活动具有重要作用,并发现日本、韩国、中国等国家的造船业存在极强的集群效应。
最后,本文就船队规模变化对运费波动率的影响展开了论述,先以AR-GARCH模型来测量运费的波动率,接着用GMM法分析了货运市场运费波动率与船队规模之间的关系。研究表明船队规模是运费波动率的关键决定因素,并且以一种非线性的方式对运费波动率产生显著影响。
本文的研究结果将有助于船东改进投资决策,并对国家制定相关政策具有一定的参考意义。
Since the U.S. Subprime crisis and the European debt crisis, although being a brief rebound, the global shipping industry did not last long, then again stumbled, which is a particularly evident change in the dry bulk industry. Now the whole industry is lack of effective demand, being excess supply capacity, facing largely-cost pressure, and a prolonged slump in freight rates, where excess capacity is currently the most prominent problem. In this paper, based on time lag between the shipbuilding market and the freight market the dry bulk shipping industry, we explore the economics motivation behind overcapacity.
Shipbuilding has scarcely been studied from the economic perspective in shipping related literatures; most studies only involve shipbuilding as related variables when discussing other shipping markets. A large amount of studies on shipping markets are based on the efficient market theory. This study apply techniques of the time series analysis and the panel data analysis in a innovative way from the shipbuilding perspective explore the dynamics of the shipbuilding market and the freight market in the dry bulk shipping industry.
We look into the dynamics between freight and shipbuilding markets in a more delicate way:the interaction among freight rate, shipbuilding order and delivery. Our first research question concerns the causal mechanism from freight rate to shipbuilding price. To determine the interrelationships between shipbuilding price and freight rate, a three-stage approach is taken with each step being a prerequisite of its next step. Firstly, the unit root test is performed to check whether the freight rate and shipbuilding price time series are stationary or not. Secondly, the test for cointegration is conducted to determine the existence of long-term relationships between the two time series. Thirdly, the Granger causality test is conducted to determine the cause-effect relationship with variables. Impulse response analysis acts as one step further to Granger causality test, which provides a more detailed insight on causal relationship by indicating whether the impacts are positive or negative, and whether such impacts are temporary or long-termed. Our findings have revealed a positive correlation between freight market and shipbuilding market, and The lags from freight rate to shipbuilding price are approximately three to six months. The existence of time lags implies that the information flow between these two markets may not be as efficient as that expected by the Efficient Markets Hypothesis.
The second research question discusses the determinants of shipbuilding activities. Through pooled panel data analysis, we verify the important role of freight market to the ship investment decision and the strong cluster effect of Asian shipbuilding countries.
Our third research question looks into the impact of the change of fleet size on freight volatility. Our results prove that fleet size is a critical determinant of freight volatility and affects it in a nonlinear manner.
The study is for improving the shipowner's investment decisions and has important reference value to formulate appropriate national policies.
在大多数航运业有关的经济学研究中都只是依据有效市场假说,把造船市场当做与其相关的变量进行讨论。本文创新性地从造船业的视角出发,运用时间序列和面板数据分析方法,研究干散货造船市场与货运市场之间的动态关系。
为了有效分析干散货造船市场与货运市场之间的动态关系,本文从运费、造船订单、船舶交付之间的相互影响入手进行了一系列研究。首先探讨了运费和造船价格之间的方向因果关系。通过单位根检验、协整检验和脉冲响应分析,研究发现了从运费到造船价格的正向-单向因果关系,从运费到造船价格的滞后时间大约是三到六个月,存在时间滞后说明两个市场的信息流动并不像有效市场假说(EMH)所预期的那样有效。
其次,本文研究了干散货造船市场投资活动的决定因素。运用混合面板数据方法研究后证实,货运市场运费对于船舶投资活动具有重要作用,并发现日本、韩国、中国等国家的造船业存在极强的集群效应。
最后,本文就船队规模变化对运费波动率的影响展开了论述,先以AR-GARCH模型来测量运费的波动率,接着用GMM法分析了货运市场运费波动率与船队规模之间的关系。研究表明船队规模是运费波动率的关键决定因素,并且以一种非线性的方式对运费波动率产生显著影响。
本文的研究结果将有助于船东改进投资决策,并对国家制定相关政策具有一定的参考意义。
Since the U.S. Subprime crisis and the European debt crisis, although being a brief rebound, the global shipping industry did not last long, then again stumbled, which is a particularly evident change in the dry bulk industry. Now the whole industry is lack of effective demand, being excess supply capacity, facing largely-cost pressure, and a prolonged slump in freight rates, where excess capacity is currently the most prominent problem. In this paper, based on time lag between the shipbuilding market and the freight market the dry bulk shipping industry, we explore the economics motivation behind overcapacity.
Shipbuilding has scarcely been studied from the economic perspective in shipping related literatures; most studies only involve shipbuilding as related variables when discussing other shipping markets. A large amount of studies on shipping markets are based on the efficient market theory. This study apply techniques of the time series analysis and the panel data analysis in a innovative way from the shipbuilding perspective explore the dynamics of the shipbuilding market and the freight market in the dry bulk shipping industry.
We look into the dynamics between freight and shipbuilding markets in a more delicate way:the interaction among freight rate, shipbuilding order and delivery. Our first research question concerns the causal mechanism from freight rate to shipbuilding price. To determine the interrelationships between shipbuilding price and freight rate, a three-stage approach is taken with each step being a prerequisite of its next step. Firstly, the unit root test is performed to check whether the freight rate and shipbuilding price time series are stationary or not. Secondly, the test for cointegration is conducted to determine the existence of long-term relationships between the two time series. Thirdly, the Granger causality test is conducted to determine the cause-effect relationship with variables. Impulse response analysis acts as one step further to Granger causality test, which provides a more detailed insight on causal relationship by indicating whether the impacts are positive or negative, and whether such impacts are temporary or long-termed. Our findings have revealed a positive correlation between freight market and shipbuilding market, and The lags from freight rate to shipbuilding price are approximately three to six months. The existence of time lags implies that the information flow between these two markets may not be as efficient as that expected by the Efficient Markets Hypothesis.
The second research question discusses the determinants of shipbuilding activities. Through pooled panel data analysis, we verify the important role of freight market to the ship investment decision and the strong cluster effect of Asian shipbuilding countries.
Our third research question looks into the impact of the change of fleet size on freight volatility. Our results prove that fleet size is a critical determinant of freight volatility and affects it in a nonlinear manner.
The study is for improving the shipowner's investment decisions and has important reference value to formulate appropriate national policies.
引文
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